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]
@inproceedings{YangCM15-0, title = {Minimum variance portfolio optimization in the spiked covariance model}, author = {Liusha Yang and Romain Couillet and Matthew R. McKay}, year = {2015}, doi = {10.1109/CAMSAP.2015.7383724}, url = {http://dx.doi.org/10.1109/CAMSAP.2015.7383724}, researchr = {https://researchr.org/publication/YangCM15-0}, cites = {0}, citedby = {0}, pages = {13-16}, booktitle = {6th IEEE International Workshop on Computational Advances in Multi-Sensor Adaptive Processing, CAMSAP 2015, Cancun, Mexico, December 13-16, 2015}, publisher = {IEEE}, isbn = {978-1-4799-1963-5}, }