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Improving portfolios global performance using a cleaned and robust covariance matrix estimate

Author

Listed:
  • Emmanuelle Jay

    (QAMLab - QAMLab)

  • Thibault Soler

    (Fideas Capital)

  • Eugénie Terreaux

    (SONDRA - Sondra, CentraleSupélec, Université Paris-Saclay - ONERA - CentraleSupélec - Université Paris-Saclay)

  • Jean-Philippe Ovarlez

    (DEMR, ONERA, Université Paris Saclay [Palaiseau] - ONERA - Université Paris-Saclay)

  • Frédéric Pascal

    (L2S - Laboratoire des signaux et systèmes - UP11 - Université Paris-Sud - Paris 11 - CentraleSupélec - CNRS - Centre National de la Recherche Scientifique)

  • Philippe de Peretti

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Christophe Chorro

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

No abstract is available for this item.

Suggested Citation

  • Emmanuelle Jay & Thibault Soler & Eugénie Terreaux & Jean-Philippe Ovarlez & Frédéric Pascal & Philippe de Peretti & Christophe Chorro, 2020. "Improving portfolios global performance using a cleaned and robust covariance matrix estimate," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02508748, HAL.
    • Handle: RePEc:hal:cesptp:hal-02508748
    DOI: 10.1007/s00500-020-04840-9
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    Cited by:

    1. Zheng, Chengli & Su, Kuangxi & Yao, Yinhong, 2021. "Hedging futures performance with denoising and noise-assisted strategies," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).

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