Improving portfolios global performance using a cleaned and robust covariance matrix estimate

Emmanuelle Jay (), Thibault Soler (), Eugénie Terreaux (), Jean-Philippe Ovarlez (), Frédéric Pascal (), Philippe de Peretti () and Christophe Chorro ()
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Emmanuelle Jay: QAMLab - QAMLab
Thibault Soler: Fideas Capital
Eugénie Terreaux: SONDRA - Sondra, CentraleSupélec, Université Paris-Saclay - ONERA - CentraleSupélec - Université Paris-Saclay
Jean-Philippe Ovarlez: DEMR, ONERA, Université Paris Saclay [Palaiseau] - ONERA - Université Paris-Saclay
Frédéric Pascal: L2S - Laboratoire des signaux et systèmes - UP11 - Université Paris-Sud - Paris 11 - CentraleSupélec - CNRS - Centre National de la Recherche Scientifique
Philippe de Peretti: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Christophe Chorro: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Date: 2020-03-15
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Published in Soft Computing, 2020, ⟨10.1007/s00500-020-04840-9⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-02508748

DOI: 10.1007/s00500-020-04840-9

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