scientific article; zbMATH DE number 6164643

zbMath1264.91144MaRDI QIDQ4920678

Santiago Gallón, Karoll Gómez

Publication date: 21 May 2013

Full work available at URL: http://www.emis.de/journals/RCE/ingles/V34/v34n3a09.html

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

covariance matrixportfolio optimizationshrinkagehigh dimensional datapenalized least squares

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Portfolio theory (91G10)

Related Items (2)

Robust inference of risks of large portfolios ⋮ Risks of large portfolios

Uses Software

• ElemStatLearn

This page was built for publication: