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"Sparse precision matrices for minimum variance portfolios."

Gabriele Torri, Rosella Giacometti, Sandra Paterlini (2019)

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DOI: 10.1007/S10287-019-00344-6

access: closed

type: Journal Article

metadata version: 2020-10-26

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Gabriele Torri, Rosella Giacometti, Sandra Paterlini:
Sparse precision matrices for minimum variance portfolios. Comput. Manag. Sci. 16(3): 375-400 (2019)

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