Portfolio optimization with noisy covariance matrices
Year of publication: |
2019
|
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Authors: | Menchero, Jose ; Ji, Lei |
Published in: |
Journal of investment management : JOIM. - Lafayette, Calif., ISSN 1545-9144, ZDB-ID 2495180-8. - Vol. 17.2019, 1, p. 77-91
|
Subject: | Mean-variance optimization | portfolio analytics | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Korrelation | Correlation | Varianzanalyse | Analysis of variance |
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