Extension of the random matrix theory to the L-moments for robust portfolio selection

DOI10.1080/14697688.2012.745946zbMath1284.91534OpenAlexW2006928065MaRDI QIDQ2871418

Ghislain Yanou

Publication date: 23 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.745946

zbMATH Keywords

portfolio constraintsportfolio analysiseconophysicsasset allocationmulti-factor modelsportfolio allocationcorrelation structuresempirical finance

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Portfolio theory (91G10)

Related Items (1)

Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments

Cites Work

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