A Krylov subspace approach to large portfolio optimization
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- Fotis Papailias & Dimitrios Thomakos, 2015.
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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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