An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios (Q6158418)
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scientific article; zbMATH DE number 7698394
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| English | An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios |
scientific article; zbMATH DE number 7698394 |
Statements
An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios (English)
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20 June 2023
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stability measure
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minimum variance portfolio
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modern portfolio theory
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covariance matrix
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Marchenko-Pastur
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0.7858172655105591
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0.7623103857040405
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0.7604652047157288
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0.7426931858062744
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0.7396414875984192
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