Extension of the random matrix theory to the L-moments for robust portfolio selection (Q2871418): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1080/14697688.2012.745946 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2006928065 / rank | |||
Normal rank | |||
Revision as of 21:54, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extension of the random matrix theory to the L-moments for robust portfolio selection |
scientific article |
Statements
Extension of the random matrix theory to the L-moments for robust portfolio selection (English)
0 references
23 January 2014
0 references
asset allocation
0 references
correlation structures
0 references
econophysics
0 references
empirical finance
0 references
multi-factor models
0 references
portfolio allocation
0 references
portfolio analysis
0 references
portfolio constraints
0 references
