Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
| Year of publication: |
2011
|
|---|---|
| Authors: | Guigues, Vincent |
| Published in: |
Computational Optimization and Applications. - Springer. - Vol. 48.2011, 3, p. 553-579
|
| Publisher: |
Springer |
| Subject: | Markowitz model | Sensitivity analysis | Covariance matrix estimation | Quadratic programming | Semidefinite programming |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008925523