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]
@inproceedings{NgAMDP11,
title = {Comparison of several covariance matrix estimators for portfolio optimization},
author = {Ka Ki Ng and Priyanka Agarwal and Nathan Mullen and Dzung Du and Ilya Pollak},
year = {2011},
doi = {10.1109/ICASSP.2011.5947667},
url = {http://dx.doi.org/10.1109/ICASSP.2011.5947667},
tags = {optimization},
researchr = {https://researchr.org/publication/NgAMDP11},
cites = {0},
citedby = {0},
pages = {5752-5755},
booktitle = {Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2011, May 22-27, 2011, Prague Congress Center, Prague, Czech Republic},
publisher = {IEEE},
isbn = {978-1-4577-0539-7},
}