Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection (Q538296)
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scientific article; zbMATH DE number 5899508
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| English | Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection |
scientific article; zbMATH DE number 5899508 |
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Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection (English)
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25 May 2011
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Markowitz model
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sensitivity analysis
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covariance matrix estimation
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quadratic programming
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semidefinite programming
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0.7589190006256104
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0.7463438510894775
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0.7445418238639832
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0.7437834143638611
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0.7417287826538086
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