High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators

DOI10.1080/00949655.2019.1577855OpenAlexW2911791495WikidataQ128419506 ScholiaQ128419506MaRDI QIDQ5107390

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Publication date: 27 April 2020

Published in: (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2019.1577855

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