Marco Avellaneda, Brian Healy, Andrew Papanicolaou, George Papanicolaou. Principal Eigenportfolios for U.S. Equities. SIAM J. Financial Math., 13(3):702-744, 2022. [doi]
@article{AvellanedaHPP22,
title = {Principal Eigenportfolios for U.S. Equities},
author = {Marco Avellaneda and Brian Healy and Andrew Papanicolaou and George Papanicolaou},
year = {2022},
doi = {10.1137/20m1383501},
url = {https://doi.org/10.1137/20m1383501},
researchr = {https://researchr.org/publication/AvellanedaHPP22},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {13},
number = {3},
pages = {702-744},
}