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Cluster-Based Shrinkage of Correlation Matrices for Portfolio Optimization.
Stjepan Begusic
Zvonko Kostanjcar
Published in:
ISPA (2019)
Keyphrases
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portfolio optimization
portfolio selection
portfolio management
problems involving
factor analysis
robust optimization
bi objective
stock market
risk management
singular value decomposition
stock exchange
optimization methods
stock price
software engineering
efficient solutions