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Improved Large Dynamic Covariance Matrix Estimation With Graphical Lasso and Its Application in Portfolio Selection.
Xin Yuan
Weiqin Yu
Zhixiang Yin
Guoqiang Wang
Published in:
IEEE Access (2020)
Keyphrases
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covariance matrix
portfolio selection
sample size
covariance matrices
estimation error
principal component analysis
geometrical interpretation
computer vision
feature selection
objective function
financial markets
correlation matrix
maximum likelihood
model selection
convergence rate
multiple objectives