Large-scale minimum variance portfolio allocation using double regularization (Q2191518)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large-scale minimum variance portfolio allocation using double regularization |
scientific article |
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Large-scale minimum variance portfolio allocation using double regularization (English)
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25 June 2020
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large-scale portfolio
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curse of dimensionality
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temporal instability
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doubly regularization
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rolling window
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