Construction of a Sparse Covariance Matrix Based on Statistical Data Analysis and Its Use in Choosing an Optimal Portfolio of Securities
Purpose of the study. The aim of the study is to develop a new method for finding an optimal portfolio of securities based on suboptimization using a sparse covariance matrix, and to create a program based on it to automate the procedure for selecting an investment strategy.Materials and methods. Th...
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| Main Authors: | , |
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| Format: | Article |
| Language: | Russian |
| Published: |
Plekhanov Russian University of Economics
2025-01-01
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| Series: | Статистика и экономика |
| Subjects: | |
| Online Access: | https://statecon.rea.ru/jour/article/view/1846 |
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