Improving portfolios global performance using a cleaned and robust covariance matrix estimate - researchr publication authors

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Emmanuelle Jay, Thibault Soler, Eugénie Terreaux, Jean Philippe Ovarlez, Frédéric Pascal 0001, Philippe de Peretti, Christophe Chorro. Improving portfolios global performance using a cleaned and robust covariance matrix estimate. Soft Comput., 24(12):8643-8654, 2020. [doi]

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