Analytic solution to variance optimization with no short positions (2017)
Attributed to:
Systemic Risk Centre
funded by
ESRC
Abstract
No abstract provided
Bibliographic Information
Digital Object Identifier: http://dx.doi.org/10.1088/1742-5468/aa9684
Publication URI: http://dx.doi.org/10.1088/1742-5468/aa9684
Type: Journal Article/Review
Parent Publication: Journal of Statistical Mechanics: Theory and Experiment
Issue: 12