Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation

Marc Senneret; Yannick Malevergne; Patrice Abry; Gerald Perrin; Laurent Jaffres

doi:10.1109/JSTSP.2016.2577546

Journal articles

Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation

Marc Senneret Yannick Malevergne ¹ Patrice Abry ² Gerald Perrin Laurent Jaffres

1 COACTIS - COACTIS

2 Phys-ENS - Laboratoire de Physique de l'ENS Lyon

Document type :

Journal articles

Domain :

Humanities and Social Sciences / Economics and Finance

Quantitative Finance [q-fin]

Computer Science [cs] / Signal and Image Processing

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Submitted on : Sunday, February 27, 2022 - 11:52:20 AM
Last modification on : Tuesday, May 3, 2022 - 3:17:56 AM

Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation

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Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation

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