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Asymptotic analysis and consistent estimation of high-dimensional Markowitz portfolios.

Francisco RubioXavier MestreDaniel Pérez Palomar
Published in: CAMSAP (2011)
Keyphrases
  • asymptotic analysis
  • high dimensional
  • portfolio selection
  • fluid model
  • portfolio optimization
  • optimal solution
  • feature space
  • stochastic model