no code implementations • 25 Mar 2022 • Karoline Bax, Emanuele Taufer, Sandra Paterlini
In particular, when focusing on the minimum-variance portfolio, the covariance matrix or better its inverse, the so-called precision matrix, is the only input required.
no code implementations • 1 Feb 2021 • Davide Bernardini, Sandra Paterlini, Emanuele Taufer
Finally, the third estimator relies on a 2-stages procedure that estimates the edge set first and then the precision matrix elements.
Methodology