ICASSP
2011
IEEE
13 years 2 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...
NIPS
2008
14 years 19 days ago
2008
Covariance estimation for high dimensional vectors is a classically difficult problem in statistical analysis and machine learning. In this paper, we propose a maximum likelihood ...