Robust dependence modeling for high-dimensional covariance matrices with financial applications
Work
Year: 2018
Type: article
Abstract: A very important problem in finance is the construction of portfolios of assets that balance risk and reward in an optimal way. A critical issue in portfolio development is how to address data outlier... more
Source: The Annals of Applied Statistics
Authors Zhe Zhu, Roy E. Welsch
Cites: 21
Cited by: 5
Related to: 10
FWCI: 0.723
Citation percentile (by year/subfield): 54.66
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: bronze