Title of article
Randomly generating portfolio-selection covariance matrices with specified distributional characteristics
Author/Authors
Markus Hirschberger، نويسنده , , Yue Qi، نويسنده , , Ralph E. Steuer، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
16
From page
1610
To page
1625
Keywords
Random covariance matrices , Covariance matrix factorization , Portfolio Selection , Portfolio optimization , Random correlation matrices , Positive semidefinite matrices
Journal title
European Journal of Operational Research
Serial Year
2007
Journal title
European Journal of Operational Research
Record number
216578
Link To Document