Minimum variance portfolio optimization in the spiked covariance model

Liusha Yang, Romain Couillet, Matthew R. McKay. Minimum variance portfolio optimization in the spiked covariance model. In 6th IEEE International Workshop on Computational Advances in Multi-Sensor Adaptive Processing, CAMSAP 2015, Cancun, Mexico, December 13-16, 2015. pages 13-16, IEEE, 2015. [doi]

Abstract

Abstract is missing.