A Krylov subspace approach to large portfolio optimization (Q311020): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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| Property / Mathematics Subject Classification ID: 65F10 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6630507 / rank | |||
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| Property / zbMATH Keywords | |||
Krylov subspaces | |||
| Property / zbMATH Keywords: Krylov subspaces / rank | |||
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singular systems | |||
| Property / zbMATH Keywords: singular systems / rank | |||
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algorithm | |||
| Property / zbMATH Keywords: algorithm / rank | |||
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sample covariance matrix | |||
| Property / zbMATH Keywords: sample covariance matrix / rank | |||
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global minimum portfolio | |||
| Property / zbMATH Keywords: global minimum portfolio / rank | |||
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Revision as of 23:59, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Krylov subspace approach to large portfolio optimization |
scientific article |
Statements
A Krylov subspace approach to large portfolio optimization (English)
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28 September 2016
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Krylov subspaces
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singular systems
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algorithm
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sample covariance matrix
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global minimum portfolio
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