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Communication Dans Un Congrès Année : 2020

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

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hal-03130678 , version 1 (03-02-2021)

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E. Jay, T. Soler, J.-P. Ovarlez, P. De Peretti, C. Chorro. Robust Covariance Matrix Estimation and Portfolio Allocation: The Case of Non-Homogeneous Assets. ICASSP 2020 - 2020 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), May 2020, Barcelona, Spain. pp.8449-8453, ⟨10.1109/ICASSP40776.2020.9054100⟩. ⟨hal-03130678⟩
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