Randomly generating portfolio-selection covariance matrices with specified distributional characteristics
DOI10.1016/J.EJOR.2005.10.014zbMATH Open1102.91047OpenAlexW2146509139MaRDI QIDQ857293FDOQ857293
Yue Qi, Markus Hirschberger, Ralph E. Steuer
Publication date: 14 December 2006
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2005.10.014
Recommendations
portfolio optimizationportfolio selectionpositive semidefinite matricesrandom covariance matricescovariance matrix factorizationrandom correlation matrices
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Cited In (21)
- Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices
- A new procedure for resampled portfolio with shrinkaged covariance matrix
- A portfolio optimization model with three objectives and discrete variables
- Portfolio selection based on fuzzy cross-entropy
- Minimax mean-variance models for fuzzy portfolio selection
- Mean-semivariance models for fuzzy portfolio selection
- An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems
- Expected mean return—standard deviation efficient frontier approximation with low‐cardinality portfolios in the presence of the risk‐free asset
- Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
- Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers
- Efficient implementation of an active set algorithm for large-scale portfolio selection
- Constructing networks by filtering correlation matrices: a null model approach
- A new perspective for optimal portfolio selection with random fuzzy returns
- Non-contour efficient fronts for identifying most preferred portfolios in sustainability investing
- Mean-risk model for uncertain portfolio selection
- Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property
- Fuzzy portfolio optimization model under real constraints
- Convex combinations in judgment aggregation
- Portfolio selection with a new definition of risk
- Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
- A fuzzy portfolio selection method based on possibilistic mean and variance
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