Voting shrinkage algorithm for Covariance Matrix Estimation and its application to portfolio selection.
Tuan TranNhat NguyenTrung NguyenAn MaiPublished in: RIVF (2020)
Keyphrases
- covariance matrix
- objective function
- dynamic programming
- optimization algorithm
- portfolio selection
- em algorithm
- expectation maximization
- np hard
- k means
- computational complexity
- search space
- estimation error
- eigendecomposition
- covariance matrices
- convergence rate
- geometrical interpretation
- correlation matrix
- maximum likelihood estimation
- particle swarm optimization algorithm
- probabilistic model
- sample size
- similarity measure
- simulated annealing
- principal component analysis