Disentangling the role of variance and covariance information in portfolio selection problems
Year of publication: |
2019
|
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Authors: | Santos, André A. P. |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 1, p. 57-76
|
Subject: | Inverse covariance matrix | Minimum variance portfolio | Reward-to-risk timing | Tangency portfolio | Volatility timing | Theorie | Theory | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Varianzanalyse | Analysis of variance | Korrelation | Correlation |
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