Pages that link to "Item:Q1855541"

The following pages link to Noisy covariance matrices and portfolio optimization. II (Q1855541):

Displaying 20 items.

• Cleaning large correlation matrices: tools from random matrix theory (Q521794) (← links)
• High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation (Q620558) (← links)
• Cluster analysis for portfolio optimization (Q844576) (← links)
• Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory (Q844582) (← links)
• Randomly generating portfolio-selection covariance matrices with specified distributional characteristics (Q857293) (← links)
• Divergent estimation error in portfolio optimization and in linear regression (Q978608) (← links)
• Risk minimization through portfolio replication (Q978811) (← links)
• A combinatorial optimization approach to scenario filtering in portfolio selection (Q2146965) (← links)
• Standardized covariance. A measure of association, similarity and co-riskiness between choice options (Q2263968) (← links)
• Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case (Q3088327) (← links)
• On the non-stationarity of financial time series: impact on optimal portfolio selection (Q3301374) (← links)
• Replica approach to mean-variance portfolio optimization (Q3302503) (← links)
• Optimal trading strategies—a time series approach (Q3302654) (← links)
• ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY (Q3650926) (← links)
• Portfolio optimization under Expected Shortfall: contour maps of estimation error (Q4554495) (← links)
• Macroscopic relationship in primal-dual portfolio optimization problem (Q4964477) (← links)
• The effects of errors in means, variances, and correlations on the mean-variance framework (Q5041668) (← links)
• Regularizing portfolio optimization (Q5131405) (← links)
• Power mapping with dynamical adjustment for improved portfolio optimization (Q5189719) (← links)
• Smooth monotone covariance for elliptical distributions and applications in finance (Q5245911) (← links)