Sparse precision matrices for minimum variance portfolios.

Gabriele Torri Rosella Giacometti Sandra Paterlini

Published in: Comput. Manag. Sci. (2019)

Keyphrases

minimum variance
portfolio optimization
coefficient matrix
spectral estimation
portfolio selection
factor analysis
linear prediction
risk management
problems involving
robust optimization
bi objective
genetic algorithm
optimal solution
pattern recognition
image compression
optimization methods