Sector classification through non-Gaussian similarity
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- Maximilian Vermorken & Ariane Szafarz & Hugues Pirotte, 2010. "Sector Classification through non-Gaussian Similarity," ULB Institutional Repository 2013/95542, ULB -- Universite Libre de Bruxelles.
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- Marie Briere & Ariane Szafarz, 2021. "When it Rains, it Pours: Multifactor Asset Management in Good and Bad Times," Working Papers CEB 21-002, ULB -- Universite Libre de Bruxelles.
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More about this item
Keywords
equity sectors; industry classification; portfolio management;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G19 - Financial Economics - - General Financial Markets - - - Other
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2008-10-28 (Econometrics)
- NEP-RMG-2008-10-28 (Risk Management)
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