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Randomly generating portfolio-selection covariance matrices with specified distributional characteristics.
Markus Hirschberger
Yue Qi
Ralph E. Steuer
Published in:
Eur. J. Oper. Res. (2007)
Keyphrases
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covariance matrices
portfolio selection
covariance matrix
maximum likelihood
gaussian distribution
vector space
gaussian mixture model
distance measure
gaussian mixture
robust optimization
financial markets
feature vectors
text classification
multiple objectives