Portfolio Selection Using Tikhonov Filtering to Estimate the Covariance Matrix

Sungwoo Park, Dianne P. O Leary. Portfolio Selection Using Tikhonov Filtering to Estimate the Covariance Matrix. SIAM J. Financial Math., 1(1):932-961, 2010. [doi]

Authors

Sungwoo Park

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Dianne P. O Leary

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