Randomly generating portfolio-selection covariance matrices with specified distributional characteristics

DOI10.1016/j.ejor.2005.10.014zbMath1102.91047OpenAlexW2146509139MaRDI QIDQ857293

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

zbMATH Keywords

portfolio optimizationpositive semidefinite matricesportfolio selectionrandom covariance matricescovariance matrix factorizationrandom correlation matrices

Mathematics Subject Classification ID

Related Items (19)

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Uses Software

• AS 99
• AS 213

Cites Work

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