Portfolio optimization with sparse multivariate modeling
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DOI: 10.1057/s41260-022-00280-2
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Cited by:
- Gianni Filograsso & Giacomo Tollo, 2023. "Adaptive evolutionary algorithms for portfolio selection problems," Computational Management Science, Springer, vol. 20(1), pages 1-38, December.
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Keywords
Portfolio construction; Market states; Mean-variance; Information filtering; TMFG; Sparse covariance; Correlation structure;All these keywords.
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