Outlier Removal for Prediction of Covariance Matrices with an Application to Portfolio Optimization. Hellstr̈om, T. Theory of Stochastic Processes, 6(22(3-4)):47--63, 2000.
bibtex   
@article{ Hell00b,
  author = {Thomas Hellstr̈om},
  journal = {Theory of Stochastic Processes},
  number = {22(3-4)},
  pages = {47--63},
  title = {Outlier Removal for Prediction of Covariance Matrices with an Application to Portfolio Optimization},
  volume = {6},
  year = {2000}
}

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