Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
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DOI: 10.1007/s10589-009-9260-7
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References listed on IDEAS
- Ledoit, Olivier & Wolf, Michael, 2003.
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- Nadège Ribau-Peltre & Pascal Damel & An Lethi, 2018. "A methodology to avoid over-diversification of funds of equity funds An implementation case study for equity funds of funds in bull markets," Post-Print hal-03027770, HAL.
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Keywords
Markowitz model; Sensitivity analysis; Covariance matrix estimation; Quadratic programming; Semidefinite programming;All these keywords.
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