2003•Decision Support SystemsRequires access

Arbitrage pricing theory-based Gaussian temporal factor analysis for adaptive portfolio management

Kai-Chun Chiu, Lei Xu

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Key concepts: Portfolio optimization, Portfolio, Modern portfolio theory, Post-modern portfolio theory, Computer science, Sharpe ratio, Mathematical optimization, Replicating portfolio

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Arbitrage pricing theory-based Gaussian temporal factor analysis for adaptive portfolio management — Research Paper | ScholarLens