High-dimensional expected utility portfolios under the spiked covariance model

Finance research letters 2026

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Authors: Hua Li, Luying Liu, Ningning Xia, Mengkang Yu

DOI: 10.1016/j.frl.2026.109637

Cited by: 0

References: 38

Fields of Study & Subjects

Risk and Portfolio Optimization Financial Risk and Volatility Modeling Statistical Methods and Inference

References 38