Randomly generating portfolio-selection covariance matrices with specified distributional characteristics (Q857293)
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scientific article; zbMATH DE number 5080308
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Randomly generating portfolio-selection covariance matrices with specified distributional characteristics |
scientific article; zbMATH DE number 5080308 |
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Randomly generating portfolio-selection covariance matrices with specified distributional characteristics (English)
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14 December 2006
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random covariance matrices
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random correlation matrices
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positive semidefinite matrices
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covariance matrix factorization
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portfolio selection
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portfolio optimization
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