A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION (Q6182050): Difference between revisions

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+Design-free estimation of variance matrices
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+Robust estimation of high-dimensional covariance and precision matrices
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+Large-scale minimum variance portfolio allocation using double regularization
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+Covariance regularization by thresholding
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+Sparse and stable Markowitz portfolios
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+A Constrained<i>ℓ</i><sub>1</sub>Minimization Approach to Sparse Precision Matrix Estimation
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+Estimating sparse precision matrix: optimal rates of convergence and adaptive estimation
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+Sparse and robust mean-variance portfolio optimization problems
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+A well-conditioned estimator for large-dimensional covariance matrices
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+Nonlinear shrinkage estimation of large-dimensional covariance matrices
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+SHRINKAGE ESTIMATION OF MEAN-VARIANCE PORTFOLIO
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+Q5531480
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+A unified model for regularized and robust portfolio optimization
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+Variable selection of linear programming discriminant estimator
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+Publication:6182050