Comparison of several covariance matrix estimators for portfolio optimization

Ka Ki Ng, Priyanka Agarwal, Nathan Mullen, Dzung Du, Ilya Pollak. Comparison of several covariance matrix estimators for portfolio optimization. In Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2011, May 22-27, 2011, Prague Congress Center, Prague, Czech Republic. pages 5752-5755, IEEE, 2011. [doi]

Abstract

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