Browsing A) Producción científica UCSC by Subject "Random matrix theory"

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  • Improving the volatility of the optimal weights of the Markowitz model 

    Ortiz, Roberto; Contreras, Mauricio; Mellado, Cristhian (2022)
    The main practical problems that are faced by portfolio optimisation under the Markowitz model are (i) its lower out-of-sample performance than the naive 1=n rule, (ii) the resulting asset weights with extreme values, and ...