Extension of random matrix theory to the L-moments for robust portfolio allocation.
Year of publication: |
2008-12
|
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Authors: | Yanou, Ghislain |
Institutions: | Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) |
Subject: | Covariance matrix | Lvariance-covariance | Lcorrelation | concomitance | random matrix theory |
Extent: | application/pdf |
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Series: | Documents de travail du Centre d'Economie de la Sorbonne. - ISSN 1955-611X. |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 41 pages |
Classification: | G10 - General Financial Markets. General ; G11 - Portfolio Choice |
Source: |
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Extension of Random Matrix Theory to the L-moments for Robust Portfolio Allocation
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