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Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation

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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

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Marc Senneret, Yannick Malevergne, Patrice Abry, Gerald Perrin, Laurent Jaffres. Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation. IEEE Journal of Selected Topics in Signal Processing, IEEE, 2016, 10 (6), pp.982-993. ⟨10.1109/JSTSP.2016.2577546⟩. ⟨halshs-03590388⟩

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