Optimization of stock portfolio risks based on correlation filtering using minimum perturbations of eigenvectors

LI Bing-na, HUI Xiao-feng

Systems Engineering - Theory & Practice ›› 2013, Vol. 33 ›› Issue (10) : 2449-2461.

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Systems Engineering - Theory & Practice ›› 2013, Vol. 33 ›› Issue (10) : 2449-2461. DOI: 10.12011/1000-6788(2013)10-2449

Optimization of stock portfolio risks based on correlation filtering using minimum perturbations of eigenvectors

  • LI Bing-na1,2, HUI Xiao-feng1
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{{article.zuoZheEn_L}}. {{article.title_en}}. Systems Engineering - Theory & Practice, 2013, 33(10): 2449-2461 https://doi.org/10.12011/1000-6788(2013)10-2449

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