Singular inverse Wishart distribution and its application to portfolio theory (Q900811)
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scientific article; zbMATH DE number 6523742
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Singular inverse Wishart distribution and its application to portfolio theory |
scientific article; zbMATH DE number 6523742 |
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Singular inverse Wishart distribution and its application to portfolio theory (English)
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23 December 2015
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singular Wishart distribution
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mean-variance portfolio
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sample estimate of precision matrix
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Moore-Penrose inverse
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