Estimated correlation matrices and portfolio optimization

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2004.05.079 ◽

2004 ◽

Vol 343 ◽

pp. 623-634 ◽

Author(s):

Szilárd Pafka ◽

Imre Kondor

Keyword(s):

Portfolio Optimization ◽

Correlation Matrices

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Cluster-Based Shrinkage of Correlation Matrices for Portfolio Optimization

2019 11th International Symposium on Image and Signal Processing and Analysis (ISPA) ◽

10.1109/ispa.2019.8868482 ◽

2019 ◽

Author(s):

Stjepan Begusic ◽

Zvonko Kostanjcar

Keyword(s):

Portfolio Optimization ◽

Correlation Matrices

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Correlation matrices estimation in energy portfolio optimization

2008 IEEE Power and Energy Society General Meeting - Conversion and Delivery of Electrical Energy in the 21st Century ◽

10.1109/pes.2008.4596170 ◽

2008 ◽

Author(s):

Min Liu ◽

Felix F. Wu

Keyword(s):

Portfolio Optimization ◽

Correlation Matrices ◽

Energy Portfolio Optimization

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Recognizing Investor “Comfort” Assets in Portfolio Optimization

10.2469/dig.v43.n3.30 ◽

2013 ◽

Vol 43 (3) ◽

Author(s):

Vipul K. Bansal

Keyword(s):

Portfolio Optimization

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Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation (a review)

Financial Analysts Journal ◽

10.2469/faj.v55.n3.2277 ◽

1999 ◽

Vol 55 (3) ◽

pp. 101-102 ◽

Author(s):

Michael R. Granito

Keyword(s):

Portfolio Optimization ◽

Asset Allocation ◽

Asset Management ◽

Practical Guide ◽

Stock Portfolio

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Exploration portfolio optimization for increase of investment effectiveness

Neftyanoe khozyaystvo - Oil Industry ◽

10.24887/0028-2448-2017-12-10-13 ◽

2017 ◽

pp. 10-13

Author(s):

A.A. Vashkevich ◽

◽

V.A. Shashel ◽

A.S. Bochkov ◽

V.V. Zhukov ◽

...

Keyword(s):

Portfolio Optimization

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Assessing Cost, Performance and Risk of Human Lunar Exploration Missions Using Robust Portfolio Optimization

2018 AIAA SPACE and Astronautics Forum and Exposition ◽

10.2514/6.2018-5179 ◽

2018 ◽

Author(s):

William J. O'Neill ◽

Daniel DeLaurentis

Keyword(s):

Portfolio Optimization ◽

Lunar Exploration ◽

Cost Performance ◽

Robust Portfolio Optimization ◽

Robust Portfolio

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On Random Correlation Matrices. 2. The Toeplitz Case

10.21236/ada208229 ◽

1989 ◽

Author(s):

R. B. Holmes

Keyword(s):

Correlation Matrices

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A Primer on Applying Monte Carlo Simulation, Real Options Analysis, Knowledge Value Added, Forecasting, and Portfolio Optimization

10.21236/ada518628 ◽

2010 ◽

Author(s):

Johnathan Mun ◽

Thomas Housal

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Real Options ◽

Portfolio Optimization ◽

Value Added ◽

Real Options Analysis ◽

Knowledge Value

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The influence of correlation on multi-asset portfolio optimization with transaction costs

The Journal of Computational Finance ◽

10.21314/jcf.2006.141 ◽

2006 ◽

Vol 10 (2) ◽

pp. 53-96 ◽

Author(s):

Colin Atkinson ◽

ongsathorn Ingpochai

Keyword(s):

Transaction Costs ◽

Portfolio Optimization ◽

Asset Portfolio

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Long–short portfolio optimization in the presence of discrete asset choice constraints and two risk measures

The Journal of Risk ◽

10.21314/jor.2010.221 ◽

2010 ◽

Vol 13 (2) ◽

pp. 71-100 ◽

Author(s):

Ritesh Kumar ◽

Gautam Mitra ◽

Diana Roman

Keyword(s):

Portfolio Optimization ◽

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