On the impact of semidefinite positive correlation measures in portfolio theory

DOI10.1007/s10479-015-1962-xzbMath1358.91096OpenAlexW2162712646MaRDI QIDQ256678

Tomas Tichý, Sergio Ortobelli

Publication date: 9 March 2016

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-015-1962-x

zbMATH Keywords

dimensionality reductionconcordance measurelarge scale portfolio selectionreward measuresemidefinite positive association measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Portfolio theory (91G10)

Related Items

Portfolio optimization with asset preselection using data envelopment analysis, On the use of conditional expectation in portfolio selection problems, On the impact of conditional expectation estimators in portfolio theory

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