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Robust Covariance Matrix Estimation And Portfolio Allocation: The Case Of Non-Homogeneous Assets

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Robust Covariance Matrix Estimation And Portfolio Allocation: The Case Of Non-Homogeneous Assets

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Robust Covariance Matrix Estimation And Portfolio Allocation: The Case Of Non-Homogeneous Assets

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This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can be applied to the portfolio optimisation problem. The particular case of the Maximum Variety Portfolio is treated but the same improvem
This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can be applied to the portfolio optimisation problem. The particular case of the Maximum Variety Portfolio is treated but the same improvem

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