A Krylov subspace approach to large portfolio optimization
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Fotis Papailias & Dimitrios Thomakos, 2015.
"Covariance averaging for improved estimation and portfolio allocation,"
Financial Markets and Portfolio Management,
Springer;Swiss Society for Financial Market Research, pages 31-59.
- Dimitrios D. Thomakos & Fotis Papailias, 2013. "Covariance Averaging for Improved Estimation and Portfolio Allocation," Working Paper series 66_13, Rimini Centre for Economic Analysis.
More about this item
KeywordsKrylov subspaces; Singular systems; Algorithm; Sample covariance matrix; Global minimum portfolio;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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