Sparse Precision Matrices for Minimum Variance Portfolios

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Sparse Precision Matrices for Minimum Variance Portfolios

Torri, Gabriele, Giacometti, Rosella
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Year:
2017
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2965092
File:
PDF, 381 KB
english, 2017
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