Zimo Zhu, Aerambamoorthy Thavaneswaran, Alexander Paseka, Julieta Frank, Ruppa K. Thulasiram. Portfolio Optimization Using a Novel Data-Driven EWMA Covariance Model with Big Data. In 44th IEEE Annual Computers, Software, and Applications Conference, COMPSAC 2020, Madrid, Spain, July 13-17, 2020. pages 1308-1313, IEEE, 2020. [doi]
@inproceedings{ZhuTPFT20,
title = {Portfolio Optimization Using a Novel Data-Driven EWMA Covariance Model with Big Data},
author = {Zimo Zhu and Aerambamoorthy Thavaneswaran and Alexander Paseka and Julieta Frank and Ruppa K. Thulasiram},
year = {2020},
doi = {10.1109/COMPSAC48688.2020.00-75},
url = {https://doi.org/10.1109/COMPSAC48688.2020.00-75},
researchr = {https://researchr.org/publication/ZhuTPFT20},
cites = {0},
citedby = {0},
pages = {1308-1313},
booktitle = {44th IEEE Annual Computers, Software, and Applications Conference, COMPSAC 2020, Madrid, Spain, July 13-17, 2020},
publisher = {IEEE},
isbn = {978-1-7281-7303-0},
}