Improving portfolios global performance using a cleaned and robust covariance matrix estimate (Q2153647)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Improving portfolios global performance using a cleaned and robust covariance matrix estimate |
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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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