Sign in
Minimum variance portfolio optimization with robust shrinkage covariance estimation.
Liusha Yang
Romain Couillet
Matthew R. McKay
Published in:
ACSSC (2014)
Keyphrases
</>
minimum variance
portfolio optimization
robust optimization
estimation error
portfolio selection
risk management
stock market
problems involving
factor analysis
bi objective
optimization methods
stock price
covariance matrix
k means
linear prediction
mathematical programming
stock exchange
multi objective