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]
@article{ParkO10,
title = {Portfolio Selection Using Tikhonov Filtering to Estimate the Covariance Matrix},
author = {Sungwoo Park and Dianne P. O Leary},
year = {2010},
doi = {10.1137/090749372},
url = {http://dx.doi.org/10.1137/090749372},
researchr = {https://researchr.org/publication/ParkO10},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {1},
number = {1},
pages = {932-961},
}