Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation

Marc Senneret, Yannick Malevergne, Patrice Abry, Gerald Perrin, Laurent Jaffres. Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation. J. Sel. Topics Signal Processing, 10(6):982-993, 2016. [doi]

Abstract

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