Sparse precision matrices for minimum variance portfolios
Year of publication: |
2019
|
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Authors: | Torri, Gabriele ; Giacometti, Rosella ; Paterlini, Sandra |
Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 16.2019, 3, p. 375-400
|
Subject: | Minimum variance | Precision matrix | Graphical lasso | Tlasso | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory |
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