A robust Glasso approach to portfolio selection in high dimensions
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DOI: 10.1016/j.jempfin.2022.11.003
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Cited by:
- Bodnar, Olha & Bodnar, Taras & Niklasson, Vilhelm, 2024. "Constructing Bayesian tangency portfolios under short-selling restrictions," Finance Research Letters, Elsevier, vol. 62(PA).
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Keywords
Portfolio selection; High dimension; Hedge relation; Data contamination; Glasso; Robust estimation;All these keywords.
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