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A Bayesian graphical approach for large-scale portfolio management with fewer historical data

Sakae Oya
Year of publication:
2022
Authors: Oya, Sakae
Subject: Bayesian adaptive graphical LASSO | Global minimum variance portfolio | p > n problem | Positive definiteness | Precision matrix | Portfolio-Management | Portfolio selection | Bayes-Statistik | Bayesian inference | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory
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