Portfolio optimization with noisy covariance matrices
Jose Menchero and Lei Ji
| Year of publication: |
2019
|
|---|---|
| Authors: | Menchero, Jose ; Ji, Lei |
| Published in: |
Journal of investment management : JOIM. - Lafayette, Calif., ISSN 1545-9144, ZDB-ID 2495180-8. - Vol. 17.2019, 1, p. 77-91
|
| Subject: | Mean-variance optimization | portfolio analytics | Portfolio-Management | Portfolio selection | Theorie | Theory | Korrelation | Correlation | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012254261