Robust estimation of covariance and its application to portfolio optimization
Year of publication: |
2012
|
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Authors: | Huo, Lijuan ; Kim, Tae-hwan ; Kim, Yunmi |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 9.2012, 3, p. 121-134
|
Subject: | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Korrelation | Correlation | Schätztheorie | Estimation theory |
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