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10 - Mathematical Sciences

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Article title

On the non-stationarity of financial time series: impact on optimal portfolio selection

Type

D - Journal article

DOI

Title of journal

Journal of Statistical Mechanics: Theory and Experiment

Article number

Volume number

2012

Issue number

First page of article

P07025

ISSN of journal

1742-5468

Year of publication

2012

URL

Number of additional authors

Additional information

Interdisciplinary

Cross-referral requested

Research group

C - Numerical Analysis & Sci. Comp.

Proposed double-weighted

Double-weighted statement

Reserve for a double-weighted output

Non-English

English abstract