Improved Covariance Matrix Estimation With an Application in Portfolio Optimization.

Samruddhi Deshmukh Amartansh Dubey

Published in: IEEE Signal Process. Lett. (2020)

Keyphrases

covariance matrix
portfolio optimization
estimation error
covariance matrices
sample size
principal component analysis
portfolio selection
problems involving
risk management
stock market
bi objective
objective function
robust optimization
correlation matrix
optimization methods
factor analysis
fitness function