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Results 1-1 of 1 (Search time: 0.003 seconds).
High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators
Choi, Y.-G.; Lim, J.;
Choi, S.
Article
Issue Date
2019
Citation
Journal of Statistical Computation and Simulation, v.89, no.7, pp.1278 - 1300
Publisher
Taylor and Francis Ltd.
1
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Author
Choi, Y.-G.
1
Lim, J.
1
Subject
high-dimensional covariance matrix
1
Markowitz&apos
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minimum variance portfolio
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P500 data
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s portfolio optimization
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Date Issued
2019
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