Portfolio optimization with sparse multivariate modeling

Pier Francesco Procacci, Tomaso Aste

Year of publication:	2022
Authors:	Procacci, Pier Francesco ; Aste, Tomaso
Subject:	Correlation structure \| Information filtering \| Market states \| Mean-variance \| Portfolio construction \| Sparse covariance \| TMFG \| Portfolio-Management \| Portfolio selection \| Korrelation \| Correlation \| Multivariate Analyse \| Multivariate analysis \| Varianzanalyse \| Analysis of variance \| Schätztheorie \| Estimation theory

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