On the Benefits of Equicorrelation for Portfolio Allocation (Q4687562): Difference between revisions
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Latest revision as of 15:04, 30 December 2024
scientific article; zbMATH DE number 6952468
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Benefits of Equicorrelation for Portfolio Allocation |
scientific article; zbMATH DE number 6952468 |
Statements
On the Benefits of Equicorrelation for Portfolio Allocation (English)
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12 October 2018
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volatility
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multivariate GARCH
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correlation
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portfolio management
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large-dimensional multivariate problems
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correlation matrix for large-dimensional problems
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