Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
type: Item
instance of: scholarly article
title: Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
zbMATH Open document ID: 1219.91126
author: Vincent Guigues
published in: Computational Optimization and Applications
publication date: 2011-05-25T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C31
Mathematics Subject Classification ID: 90C20
Mathematics Subject Classification ID: 90C22
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 5899508
zbMATH Keywords: Markowitz model
zbMATH Keywords: sensitivity analysis
zbMATH Keywords: covariance matrix estimation
zbMATH Keywords: quadratic programming
zbMATH Keywords: semidefinite programming
describes a project that uses: SeDuMi
MaRDI profile type: Publication
full work available at URL: s10589-009-9260-7
OpenAlex ID: W1978003346
cites work: Sensitivity Analysis for Mean-Variance Portfolio Problems
cites work: Stability of the solution of definite quadratic programs
cites work: Multi-stage stochastic linear programs for portfolio optimization
cites work: Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization
cites work: Computing the nearest correlation matrix--a problem from finance
cites work: Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
DOI: 10.1007/S10589-009-9260-7
description: scientific article; zbMATH DE number 5899508