Improving Portfolios Global Performance with Robust Covariance Matrix Estimation: Application to the Maximum Variety Portfolio.
Emmanuelle JayEugénie TerreauxJean Philippe OvarlezFrédéric PascalPublished in: EUSIPCO (2018)
Keyphrases
- covariance matrix
- estimation error
- covariance matrices
- principal component analysis
- mahalanobis distance
- portfolio selection
- probabilistic model
- machine learning
- genetic algorithm
- high dimensional
- special case
- sample size
- positive definite
- correlation matrix
- eigenvalues and eigenvectors
- class conditional densities