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"Robust Covariance Matrix Estimation and Portfolio Allocation: The Case of ..."

Emmanuelle Jay et al. (2020)

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DOI: 10.1109/ICASSP40776.2020.9054100

access: closed

type: Conference or Workshop Paper

metadata version: 2020-09-30

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Emmanuelle Jay, Thibault Soler, Jean Philippe Ovarlez, Philippe de Peretti, Christophe Chorro:
Robust Covariance Matrix Estimation and Portfolio Allocation: The Case of Non-Homogeneous Assets. ICASSP 2020: 8449-8453

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