Emmanuelle Jay, Eugenie Terrcaux, Jean Philippe Ovarlez, Frédéric Pascal 0001. Improving Portfolios Global Performance with Robust Covariance Matrix Estimation: Application to the Maximum Variety Portfolio. In 26th European Signal Processing Conference, EUSIPCO 2018, Roma, Italy, September 3-7, 2018. pages 1107-1111, IEEE, 2018. [doi]
Abstract is missing.