An iterative approach to ill-conditioned optimal portfolio selection
Year of publication: |
2020
|
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Authors: | Gulliksson, Mårten ; Mazur, Stepan |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 56.2020, 4, p. 773-794
|
Subject: | Mean-variance portfolio | Singular covariance matrix | Linear ill-posed problems | Second order damped dynamical systems | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance |
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