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"Portfolio Selection Using Tikhonov Filtering to Estimate the Covariance ..."

Sungwoo Park, Dianne P. O'Leary (2010)

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DOI: 10.1137/090749372

access: closed

type: Journal Article

metadata version: 2022-10-02

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Sungwoo Park, Dianne P. O'Leary:
Portfolio Selection Using Tikhonov Filtering to Estimate the Covariance Matrix. SIAM J. Financial Math. 1(1): 932-961 (2010)

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