Patrimony
The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).
Robust covariance matrix estimation and portfolio allocation: the case of non-homogeneous assets.
Elliptical Symmetric Noise, Model Order Selection, Portfolio Optimization, Random Matrix Theory, Robust Covariance Matrix Estimation
Improving portfolios global performance using a cleaned and robust covariance matrix estimate.
Elliptical Symmetric Noise, Financial Time Series, Maximum Variety Portfolio, Model Order Selection, Multi-Factor Model, Portfolio Optimisation, Random Matrix Theory, Robust Covariance Matrix Estimation