2 citations · 4 across the 8 of their papers we have counts for
Showing 2022Show all
2 papers · 1 filter
q-fin.PM2022
LoCoV: low dimension covariance voting algorithm for portfolio optimization
JunTao Duan, Ionel Popescu
Minimum-variance portfolio optimizations rely on accurate covariance estimator to obtain optimal portfolios. However, it usually suffers from large error from sample covariance mat…
stat.ML2022
Recover the spectrum of covariance matrix: a non-asymptotic iterative method
Juntao Duan, Ionel Popescu, Heinrich Matzinger
It is well known the sample covariance has a consistent bias in the spectrum, for example spectrum of Wishart matrix follows the Marchenko-Pastur law. We in this work introduce an…