Stjepan Begusic, Zvonko Kostanjcar. Cluster-Based Shrinkage of Correlation Matrices for Portfolio Optimization. In Sven Loncaric, Robert Bregovic, Marco Carli, Marko Subasic, editors, 11th International Symposium on Image and Signal Processing and Analysis, ISPA 2019, Dubrovnik, Croatia, September 23-25, 2019. pages 301-305, IEEE, 2019. [doi]
Abstract is missing.