Ovarlez Jean-Philippe

DEMR, ONERA

Université Paris-Saclay

Palaiseau, 91123

France

SONDRA, CentraleSupélec

Université Paris-Saclay

Gif-sur-Yvette, 91190

France

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Scholarly Papers (1)

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Improving Portfolios Global Performance with Robust Covariance Matrix Estimation: Application to the Maximum Variety Portfolio

26th European Signal Processing Conference (EUSIPCO 2018)
Number of pages: 5 Posted: 31 May 2018
Jay Emmanuelle, Terreaux Eugénie, Ovarlez Jean-Philippe and Pascal Frédéric
QUANTED, CentraleSupélec, DEMR, ONERA and L2S, CentraleSupélec
Downloads 56 (669,747)

Abstract:

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Robust Covariance Matrix Estimation, Model Order Selection, Random Matrix Theory, Portfolio Optimisation, Financial Time Series, Multi-Factor Model, Elliptical Symmetric Noise, Maximum Variety Portfolio