Covariance Matrix Estimation Under Positivity Constraints With Application to Portfolio Selection

Ghania Fatima, Prabhu Babu, Petre Stoica. Covariance Matrix Estimation Under Positivity Constraints With Application to Portfolio Selection. IEEE Signal Process. Lett., 29:2487-2491, 2022. [doi]

Authors

Ghania Fatima

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Prabhu Babu

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Petre Stoica

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