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A robust Glasso approach to portfolio selection in high dimensions Journal article
Wenliang Ding, Lianjie Shu, Xinhua Gu. A robust Glasso approach to portfolio selection in high dimensions[J]. Journal of Empirical Finance, 2022, 70, 22-37.
Authors:  Wenliang Ding;  Lianjie Shu;  Xinhua Gu
Favorite | TC[WOS]:2 TC[Scopus]:2  IF:2.1/3.0 | Submit date：2023/02/10
Data Contamination  Glasso  Hedge Relation  High Dimension  Portfolio Selection  Robust Estimation