Improving portfolios global performance using a cleaned and robust covariance matrix estimate (Q2153647)
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scientific article; zbMATH DE number 7555633
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| English | Improving portfolios global performance using a cleaned and robust covariance matrix estimate |
scientific article; zbMATH DE number 7555633 |
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Improving portfolios global performance using a cleaned and robust covariance matrix estimate (English)
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12 July 2022
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portfolio selection
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maximum variety portfolio
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minimum variance portfolio
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covariance matrix
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random matrix theory
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thresholding
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factor model
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elliptic distribution
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0.84301037
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0.84092087
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0.8407348
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0.83416235
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0.8325091
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0.83183914
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0.82843107
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0.82815725
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