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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]

The following publications are possibly variants of this publication:

Minimum variance portfolio optimization in the spiked covariance modelLiusha Yang, Romain Couillet, Matthew R. McKay. camsap 2015: 13-16 [doi]

A Robust Statistics Approach to Minimum Variance Portfolio OptimizationLiusha Yang, Romain Couillet, Matthew R. McKay. tsp, 63(24):6684-6697, 2015. [doi]

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