most citedOn estimating covariances between many assets with histories of highly variable length

9 citations · 9 across the 1 of their papers we have counts for

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1 paper

stat.ME2007★ 9 cited

On estimating covariances between many assets with histories of highly variable length

Robert B. Gramacy, Joo Hee Lee, Ricardo Silva

Quantitative portfolio allocation requires the accurate and tractable estimation of covariances between a large number of assets, whose histories can greatly vary in length. Such d…