Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection (Q538296)
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scientific article; zbMATH DE number 5899508
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection |
scientific article; zbMATH DE number 5899508 |
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Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection (English)
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25 May 2011
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Markowitz model
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sensitivity analysis
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covariance matrix estimation
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quadratic programming
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semidefinite programming
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