Noisy covariance matrices and portfolio optimization II
Year of publication: |
2003
|
---|---|
Authors: | Pafka, Szilárd ; Kondor, Imre |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 319.2003, C, p. 487-494
|
Publisher: |
Elsevier |
Subject: | Noisy covariance matrices | Random matrix theory | Portfolio optimization | Risk management |
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