Noisy covariance matrices and portfolio optimization. II (Q1855541)
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scientific article; zbMATH DE number 1864910
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| English | Noisy covariance matrices and portfolio optimization. II |
scientific article; zbMATH DE number 1864910 |
Statements
Noisy covariance matrices and portfolio optimization. II (English)
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5 February 2003
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random matrix theory
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time series
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risk
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0.8149350881576538
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0.7732769846916199
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0.7695949673652649
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0.7609593868255615
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0.7587922215461731
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