Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection.
Vincent GuiguesPublished in: Comput. Optim. Appl. (2011)
Keyphrases
- sensitivity analysis
- covariance matrix
- portfolio selection
- covariance matrices
- managerial insights
- sample size
- financial markets
- influence diagrams
- principal component analysis
- robust optimization
- optimal portfolio
- geometrical interpretation
- multiple objectives
- objective function
- genetic programming
- bayesian networks
- machine learning