An eigenvalue distribution derived "Stability Measure" for evaluating Minimum Variance portfolios
William Smyth and Daniel Broby
| Year of publication: |
2023
|
|---|---|
| Authors: | Smyth, William ; Broby, Daniel |
| Subject: | Covariance matrix | Marchenko-Pastur | Minimum Variance portfolio | Modern portfolio theory | Stability Measure | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory | Volatilität | Volatility | Korrelation | Correlation |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2149420 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014232686