Robust dependence modeling for high-dimensional covariance matrices with financial applications (Q1624844)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Robust dependence modeling for high-dimensional covariance matrices with financial applications |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust dependence modeling for high-dimensional covariance matrices with financial applications |
scientific article |
Statements
Robust dependence modeling for high-dimensional covariance matrices with financial applications (English)
0 references
16 November 2018
0 references
active asset allocation
0 references
portfolio selection
0 references
robust estimation
0 references
high-dimensional dependence modeling
0 references
covariance/correlation estimation
0 references
regular vine
0 references
0 references
0 references
