Portfolio Selection Using Tikhonov Filtering to Estimate...

SIAM Journal on Financial Mathematics 2010 / 01 Vol. 1; Iss. 1

Portfolio Selection Using Tikhonov Filtering to Estimate the Covariance Matrix

Park, Sungwoo, O'Leary, Dianne P.
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Volume:
1
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/090749372
Date:
January, 2010
File:
PDF, 988 KB
english, 2010
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