Fast recursive portfolio optimization (Q4586438)

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scientific article; zbMATH DE number 6935937
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Fast recursive portfolio optimization
scientific article; zbMATH DE number 6935937

    Statements

    Fast recursive portfolio optimization (English)
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    13 September 2018
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    portfolio optimization
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    algorithmic finance
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    covariance estimation
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    quadratic optimization
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    computational finance
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    mathematical programming
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    backtesting
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