High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators (Q5107390)
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scientific article; zbMATH DE number 7193780
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators |
scientific article; zbMATH DE number 7193780 |
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High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators (English)
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27 April 2020
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Markowitz's portfolio optimization
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minimum variance portfolio
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high-dimensional covariance matrix
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S\&P 500 data
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