Regularizing portfolio optimization (Q5131405)

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scientific article; zbMATH DE number 7271084

Language	Label	Description	Also known as
English	Regularizing portfolio optimization	scientific article; zbMATH DE number 7271084

Statements

scholarly article

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Regularizing portfolio optimization (English)

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New Journal of Physics

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publication date

7 November 2020

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full work available at URL

https://arxiv.org/abs/0911.1694

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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A well-conditioned estimator for large-dimensional covariance matrices

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A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

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RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS

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On the Uniform Convergence of Relative Frequencies of Events to Their Probabilities

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Support-vector networks

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A Statistical View of Some Chemometrics Regression Tools

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Distributional properties of portfolio weights

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Noisy covariance matrices and portfolio optimization. II

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On the feasibility of portfolio optimization under expected shortfall

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Risk minimization through portfolio replication

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Coherent Measures of Risk

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Introduction to Modern Portfolio optimization with NUOPT and S-PLUS

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Identifiers

zbMATH Open document ID

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10.1088/1367-2630/12/7/075034

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5131405

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