Improving portfolios global performance using a cleaned and robust covariance matrix estimate
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Publication:2153647
DOI10.1007/s00500-020-04840-9zbMath1489.91232OpenAlexW2984278512MaRDI QIDQ2153647
Emmanuelle Jay, Eugénie Terreaux, Philippe De Peretti, Thibault Soler, Christophe Chorro, Jean Philippe Ovarlez, Frédéric P. Pascal
Publication date: 12 July 2022
Published in: Soft Computing (Search for Journal in Brave)
Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-02354596/file/19022.pdf
covariance matrixrandom matrix theorythresholdingportfolio selectionfactor modelminimum variance portfolioelliptic distributionmaximum variety portfolio
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Cites Work
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