Robust Covariance Matrix Estimation and Portfolio Allocation: The Case of Non-Homogeneous Assets.
Emmanuelle JayThibault SolerJean Philippe OvarlezPhilippe de PerettiChristophe ChorroPublished in: ICASSP (2020)
Keyphrases
- covariance matrix
- estimation error
- covariance matrices
- principal component analysis
- sample size
- transaction costs
- geometrical interpretation
- pseudo inverse
- mahalanobis distance
- correlation matrix
- multivariate gaussian
- positive definite
- eigendecomposition
- class conditional densities
- computer vision
- cma es
- low rank
- parameter estimation
- dimensionality reduction
- objective function
- image segmentation