Randomly generating portfolio-selection covariance matrices with specified distributional characteristics
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- Ehrgott, Matthias & Klamroth, Kathrin & Schwehm, Christian, 2004. "An MCDM approach to portfolio optimization," European Journal of Operational Research, Elsevier, vol. 155(3), pages 752-770, June.
- Włodzimierz Ogryczak, 2000. "Multiple criteria linear programming model for portfolio selection," Annals of Operations Research, Springer, vol. 97(1), pages 143-162, December.
- Pafka, Szilárd & Kondor, Imre, 2003.
"Noisy covariance matrices and portfolio optimization II,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 319(C), pages 487-494.
- Szilard Pafka & Imre Kondor, 2002. "Noisy Covariance Matrices and Portfolio Optimization II," Papers cond-mat/0205119, arXiv.org, revised May 2002.
- Korhonen, Pekka & Yu, GuangYuan, 1997. "A reference direction approach to multiple objective quadratic-linear programming," European Journal of Operational Research, Elsevier, vol. 102(3), pages 601-610, November.
- Ledyard Tucker & Raymond Koopman & Robert Linn, 1969. "Evaluation of factor analytic research procedures by means of simulated correlation matrices," Psychometrika, Springer;The Psychometric Society, vol. 34(4), pages 421-459, December.
- Szilard Pafka & Marc Potters & Imre Kondor, 2004.
"Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization,"
Science & Finance (CFM) working paper archive
500050, Science & Finance, Capital Fund Management.
- Szilard Pafka & Marc Potters & Imre Kondor, 2004. "Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization," Papers cond-mat/0402573, arXiv.org.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
- Arenas Parra, M. & Bilbao Terol, A. & Rodriguez Uria, M. V., 2001. "A fuzzy goal programming approach to portfolio selection," European Journal of Operational Research, Elsevier, vol. 133(2), pages 287-297, January.
- Spronk, Jaap & Hallerbach, Winfried, 1997. "Financial modelling: Where to go? With an illustration for portfolio management," European Journal of Operational Research, Elsevier, vol. 99(1), pages 113-125, May.
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