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"Directional Variance Adjustment: a novel covariance estimator for high ..."
Daniel Bartz et al. (2011)
- Daniel Bartz, Kerr Hatrick, Christian W. Hesse, Klaus-Robert Müller, Steven Lemm:
Directional Variance Adjustment: a novel covariance estimator for high dimensional portfolio optimization. CoRR abs/1109.3069 (2011)
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