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. In 2020 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2020, Barcelona, Spain, May 4-8, 2020. pages 8449-8453, IEEE, 2020. [doi]
Abstract is missing.