An iterative approach to ill-conditioned optimal portfolio selection
Mårten Gulliksson, Stepan Mazur
| Year of publication: |
2020
|
|---|---|
| Authors: | Gulliksson, Mårten ; Mazur, Stepan |
| Subject: | Mean-variance portfolio | Singular covariance matrix | Linear ill-posed problems | Second order damped dynamical systems | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Mathematische Optimierung | Mathematical programming | Korrelation | Correlation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-019-09943-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012390467