Improving the volatility of the optimal weights of the Markowitz model
Roberto Ortiz, Mauricio Contreras and Cristhian Mellado
| Year of publication: |
2022
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|---|---|
| Authors: | Ortiz, Roberto ; Contreras, Mauricio ; Mellado, Cristhian |
| Published in: |
Economic research. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1331-677X, ZDB-ID 2171828-3. - Vol. 35.2022, 1,3, p. 2836-2858
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| Subject: | Portfolio selection | risk estimation | investment performance | random matrix theory | eigenvalue spectrum | Portfolio-Management | Volatilität | Volatility | Theorie | Theory | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1331677X.2021.1981963 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014383313