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Bayesian estimation of the global minimum variance portfolio.

Taras BodnarStepan MazurYarema Okhrin
Published in: Eur. J. Oper. Res. (2017)
Keyphrases
  • bayesian estimation
  • global minimum
  • cost function
  • energy function
  • simulated annealing
  • energy minimization
  • global optimum
  • global minima
  • posterior distribution
  • probabilistic model
  • metaheuristic