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Persistent link: https://www.econbiz.de/10014497168
In Markowitz portfolio optimization problems, the estimation of the inverse covariance matrix is not trivial and could even be intractable when the dimension is very high. In this article, we propose a linear portfolio optimizer (LPO) to solve Markowitz optimization problems in both...
Persistent link: https://www.econbiz.de/10013309923