Estimation of the global minimum variance portfolio in high dimensions (Q90168)
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scientific article; zbMATH DE number 6876560
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| English | Estimation of the global minimum variance portfolio in high dimensions |
scientific article; zbMATH DE number 6876560 |
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266
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1
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371-390
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April 2018
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30 May 2018
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Estimation of the global minimum variance portfolio in high dimensions (English)
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finance
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global minimum variance portfolio
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large-dimensional asymptotics
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covariance matrix estimation
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random matrix theory
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