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 is missing.