Emmanuelle Jay, Eugénie Terreaux, Jean-Philippe Ovarlez, Frederic Pascal. Improving Portfolios Global Performance with Robust Covariance Matrix Estimation: Application to the Maximum Variety Portfolio.
26th European Signal Processing Conference (EUSIPCO), Sep 2018, Rome, Italy.
⟨10.23919/eusipco.2018.8553414⟩.
⟨hal-02124639⟩