Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection (Q538296)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection |
scientific article |
Statements
Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection (English)
0 references
25 May 2011
0 references
Markowitz model
0 references
sensitivity analysis
0 references
covariance matrix estimation
0 references
quadratic programming
0 references
semidefinite programming
0 references