Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
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Bibliographic InfoArticle provided by Springer in its journal Computational Optimization and Applications.
Volume (Year): 48 (2011)
Issue (Month): 3 (April)
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Web page: http://www.springer.com/math/journal/10589
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Olivier Ledoit & Michael Wolf, 2001.
"Improved estimation of the covariance matrix of stock returns with an application to portofolio selection,"
Economics Working Papers
586, Department of Economics and Business, Universitat Pompeu Fabra.
- Ledoit, Olivier & Wolf, Michael, 2003. "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 603-621, December.
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