Sparse graphical modelling for global minimum variance portfolio

DOI10.1007/S10287-025-00535-4MaRDI QIDQ6954988zbMATH OpenFDO

Authors Riccardo Riccobello, Giovanni Bonaccolto, Philipp J. Kremer, Piotr Sobczyk, Małgorzata Bogdan, Sandra Paterlini

Publication date 23 July 2025

Published in Computational Management Science (Search for Journal in Brave)

zbMATH Keywords

minimum variance portfolioprecision matrix estimationgraphical slopeTslope

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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