Liusha Yang, Romain Couillet, Matthew R. McKay. Minimum variance portfolio optimization with robust shrinkage covariance estimation. In 48th Asilomar Conference on Signals, Systems and Computers, ACSSC 2014, Pacific Grove, CA, USA, November 2-5, 2014. pages 1326-1330, IEEE, 2014. [doi]
Abstract is missing.