ICASSP
2011
IEEE
12 years 11 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
13 years 9 months 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 ...