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PORTFOLIO RHO-PRESENTATIVITY - MaRDI portal

PORTFOLIO RHO-PRESENTATIVITY (Q5207490)

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scientific article; zbMATH DE number 7147021
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English
PORTFOLIO RHO-PRESENTATIVITY
scientific article; zbMATH DE number 7147021

    Statements

    title
    PORTFOLIO RHO-PRESENTATIVITY (English)
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    author
    Tristan Froidure
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    Khalid Jalalzai
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    Yves Choueifaty
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    publication date
    2 January 2020
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    zbMATH Keywords
    portfolio construction
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    correlation optimization
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    constraints
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    representative portfolios
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    diversification
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    maximally rho-presentative portfolios
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    optimized portfolio stability
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    long-only eigenvalues
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    Identifiers

    zbMATH DE Number
    7147021
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    OpenAlex ID
    W3121157202
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    Wikidata QID
    Q127345146
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