Portfolio Optimization with Robust Covariance and Conditional Value-at-Risk Constraints

By Qiqin Zhou

Published 2023-04-14

Everscope rating

1612.4

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Robust Covariance Estimation and Portfolio Optimization. Problem types: Portfolio Optimization, Risk Management.

arXiv:2406.00610 · Paper rankings

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