A Cholesky decomposition-based asset selection heuristic for sparse tangent portfolio optimization

Fuente: arXiv

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Bibliographic Details
Main Authors:	Bae, Hyunglip, Jeon, Haeun, Park, Minsu, Lee, Yongjae, Kim, Woo Chang
Format:	Preprint
Published:	2025
Subjects:	Mathematical Finance Portfolio Management
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2502.11701