Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation

Marc Senneret, Yannick Malevergne, Patrice Abry, Gerald Perrin and Laurent Jaffres
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Patrice Abry: Phys-ENS - Laboratoire de Physique de l'ENS Lyon - ENS de Lyon - École normale supérieure de Lyon - Université de Lyon - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon - CNRS - Centre National de la Recherche Scientifique

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Date: 2016-09
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Citations: View citations in EconPapers (5)

Published in IEEE Journal of Selected Topics in Signal Processing, 2016, 10 (6), pp.982-993. ⟨10.1109/JSTSP.2016.2577546⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-03590388

DOI: 10.1109/JSTSP.2016.2577546

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