most citedSparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps

4 citations · 4 across the 2 of their papers we have counts for

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q-fin.PM2015

Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation

Michael Ho, Zheng Sun, Jack Xin

It is well known that the out-of-sample performance of Markowitz's mean-variance portfolio criterion can be negatively affected by estimation errors in the mean and covariance. In…