Randomly generating portfolio-selection covariance matrices with specified distributional characteristics
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portfolio optimizationportfolio selectionpositive semidefinite matricesrandom covariance matricescovariance matrix factorizationrandom correlation matrices
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Cites work
- scientific article; zbMATH DE number 4115838 (Why is no real title available?)
- scientific article; zbMATH DE number 912674 (Why is no real title available?)
- scientific article; zbMATH DE number 915990 (Why is no real title available?)
- A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
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- Numerically stable generation of correlation matrices and their factors
- On Random Correlation Matrices
- Population correlation matrices for sampling experiments
- Portfolio Selection: A Compromise Programming Solution
- RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
- SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
- Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
- Using attribute trade-off information in investment
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- 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
- Mean-risk model for uncertain portfolio selection
- Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property
- Non-contour efficient fronts for identifying most preferred portfolios in sustainability investing
- 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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