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Robust Covariance Matrix Estimation and Portfolio Allocation: The Case of Non-Homogeneous Assets

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https://hal-paris1.archives-ouvertes.fr/hal-02938055
Contributor : Philippe de Peretti <>
Submitted on : Monday, September 14, 2020 - 4:26:45 PM
Last modification on : Saturday, October 10, 2020 - 3:25:43 AM

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E. Jay, T. Soler, J.-P. Ovarlez, P. De Peretti, C. Chorro. Robust Covariance Matrix Estimation and Portfolio Allocation: The Case of Non-Homogeneous Assets. ICASSP 2020 - 2020 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), May 2020, Barcelona, Spain. pp.8449-8453, ⟨10.1109/ICASSP40776.2020.9054100⟩. ⟨hal-02938055⟩

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