"Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation."

Marc Senneret et al. (2016)

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DOI: 10.1109/JSTSP.2016.2577546

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type: Journal Article

metadata version: 2022-10-27

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Marc Senneret, Yannick Malevergne, Patrice Abry, Gerald Perrin, Laurent Jaffrès:
Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation. IEEE J. Sel. Top. Signal Process. 10(6): 982-993 (2016)

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