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Robust Covariance Matrix Estimation and Portfolio Allocation: The Case of Non-Homogeneous Assets

E. Jay, T. Soler, J.-P. Ovarlez (), P. De Peretti and Christophe Chorro ()
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E. Jay: Quanted & Europlace Institute of Finance
T. Soler: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
J.-P. Ovarlez: DEMR, ONERA, Université Paris Saclay [Palaiseau] - ONERA - Université Paris-Saclay
P. 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: 2020-05-04
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-03172117
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Published in ICASSP 2020 - 2020 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), May 2020, Barcelona, IEEE, pp.8449-8453, 2020, ⟨10.1109/ICASSP40776.2020.9054100⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-03172117

DOI: 10.1109/ICASSP40776.2020.9054100

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