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20162023
most citedEigenvalue tests for the number of latent factors in short panels

10 citations · 12 across the 5 of their papers we have counts for

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q-fin.PM2020

Wealth Effect on Portfolio Allocation in Incomplete Markets

Chenxu Li, Olivier Scaillet, Yiwen Shen

We develop a novel five-component decomposition of optimal dynamic portfolio choice, which reveals the simultaneous impacts from market incompleteness and wealth-dependent utilitie…