An eigenvalue distribution derived "Stability Measure" for evaluating Minimum Variance portfolios
William Smyth and Daniel Broby
| Year of publication: |
2023
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|---|---|
| Authors: | Smyth, William ; Broby, Daniel |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 3, p. 521-537
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| Subject: | Covariance matrix | Marchenko-Pastur | Minimum Variance portfolio | Modern portfolio theory | Stability Measure | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory | Messung | Measurement |
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