A robust Glasso approach to portfolio selection in high dimensions
Wenliang Ding, Lianjie Shu, Xinhua Gu
| Year of publication: |
2023
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|---|---|
| Authors: | Ding, Wenliang ; Shu, Lianjie ; Gu, Xinhua |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 70.2023, p. 22-37
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| Subject: | Data contamination | Glasso | Hedge relation | High dimension | Portfolio selection | Robust estimation | Portfolio-Management | Robustes Verfahren | Robust statistics | Schätztheorie | Estimation theory | Hedging |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2022.11.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014423577