Robust estimation of covariance and its application to portfolio optimization
Year of publication: |
2012
|
---|---|
Authors: | Huo, Lijuan ; Kim, Tae-Hwan ; Kim, Yunmi |
Published in: |
Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 9.2012, 3, p. 121-134
|
Publisher: |
Elsevier |
Subject: | Covariance | Robust estimation | Median |
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