Our research team has studied a wide range of covariance and precision matrix estimation procedures in order to compare their performance in terms of asset allocation in the mean-variance framework. Several additional estimators were explicitly derived to be studied theoretically.
This research work led to a paper that was accepted for publication in the special issue of the prestigious IEEE Journal on Selected Topics in Signal Processing (IEEE JSTSP), titled “Special Issue on Financial Signal Processing and Machine Learning for Electronic Trading“, and published in September 2016.
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