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 :
https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=216578
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