Skip to content

Latest commit

 

History

History
6 lines (4 loc) · 571 Bytes

README.md

File metadata and controls

6 lines (4 loc) · 571 Bytes

Scientific Background

Ledoit, Olivier, and Michael Wolf. "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection." Journal of empirical finance 10.5 (2003): 603-621.

Huang, Jianhua Z., et al. "Covariance matrix selection and estimation via penalised normal likelihood." Biometrika 93.1 (2006): 85-98.

Witten, Daniela M., Robert Tibshirani, and Trevor Hastie. "A penalized matrix decomposition, with applications to sparse principal components and canonical correlation analysis." Biostatistics (2009): kxp008.