Article
Open Access
Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization
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Vincent Guigues
Published/Copyright:
September 25, 2009
Published Online: 2009-09-25
Published in Print: 2008-03
© by Oldenbourg Wissenschaftsverlag, Rio de Janeiro, Germany
Articles in the same Issue
- Editorial
- A lattice model with incomplete information: A credit risk application
- Optimal portfolios with Haezendonck risk measures
- Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization
- Nonparametric nearest neighbor based empirical portfolio selection strategies
Keywords for this article
adaptive estimation;
weakly stationary process;
stochastic optimization;
value-at-risk;
portfolio management
Articles in the same Issue
- Editorial
- A lattice model with incomplete information: A credit risk application
- Optimal portfolios with Haezendonck risk measures
- Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization
- Nonparametric nearest neighbor based empirical portfolio selection strategies
