Portfolio risk and the quantum majorization of correlation matrices
Year of publication: |
2021
|
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Authors: | Fontanari, Andrea ; Eliazar, Iddo ; Cirillo, Pasquale ; Oosterlee, Cornelis Willebrordus |
Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 32.2021, 3, p. 257-282
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Subject: | majorization | correlation matrix | portfolio risk | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Theorie | Theory | Risikomaß | Risk measure | Risiko | Risk | Derivat | Derivative | Kreditrisiko | Credit risk |
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