"Randomly generating portfolio-selection covariance matrices with specified ..."

Markus Hirschberger, Yue Qi, Ralph E. Steuer (2007)

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DOI: 10.1016/J.EJOR.2005.10.014

access: closed

type: Journal Article

metadata version: 2020-02-21

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Markus Hirschberger, Yue Qi, Ralph E. Steuer:
Randomly generating portfolio-selection covariance matrices with specified distributional characteristics. Eur. J. Oper. Res. 177(3): 1610-1625 (2007)

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