Taras Bodnar, Nestor Parolya, Wolfgang Schmid. Estimation of the global minimum variance portfolio in high dimensions. European Journal of Operational Research, 266(1):371-390, 2018. [doi]
@article{BodnarPS18,
title = {Estimation of the global minimum variance portfolio in high dimensions},
author = {Taras Bodnar and Nestor Parolya and Wolfgang Schmid},
year = {2018},
doi = {10.1016/j.ejor.2017.09.028},
url = {https://doi.org/10.1016/j.ejor.2017.09.028},
researchr = {https://researchr.org/publication/BodnarPS18},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {266},
number = {1},
pages = {371-390},
}