18 search results - page 1 / 4 » Comparison of several covariance matrix estimators for portf... |
ICASSP
2011
IEEE
12 years 8 months ago
2011
IEEE
Modern portfolio theory dates back to a seminal 1952 paper by H. Markowitz and has been very influential both in academic finance and among practitioners in the financial indus...
SIAMJO
2010
12 years 11 months ago
2010
When liquidating a portfolio of large blocks of risky assets, an institutional investor wants to minimize the cost as well as the risk of execution. An optimal execution strategy ...
SSPR
2004
Springer
13 years 10 months ago
2004
Springer
The integrated approach is a classifier established on statistical estimator and artificial neural network. This consists of preliminary data whitening transformation which provide...
CDC
2010
IEEE
12 years 12 months ago
2010
IEEE
This paper studies the infinite-horizon sensor scheduling problem for linear Gaussian processes with linear measurement functions. Several important properties of the optimal infin...
ICDM
2009
IEEE
13 years 11 months ago
2009
IEEE
—Eigenvalue analysis is an important aspect in many data modeling methods. Unfortunately, the eigenvalues of the sample covariance matrix (sample eigenvalues) are biased estimate...