Robust dependence modeling for high-dimensional covariance matrices with financial applications (Q1624844)
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scientific article; zbMATH DE number 6980491
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| English | Robust dependence modeling for high-dimensional covariance matrices with financial applications |
scientific article; zbMATH DE number 6980491 |
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Robust dependence modeling for high-dimensional covariance matrices with financial applications (English)
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16 November 2018
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active asset allocation
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portfolio selection
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robust estimation
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high-dimensional dependence modeling
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covariance/correlation estimation
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regular vine
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