Documents Application of Graphic LASSO in Portfolio Optimization_Yixuan Chen & Mengxi Jiang

1. Application of Graphic LASSO in Portfolio Optimization Yixuan Chen 158000258 Mengxi Jiang 160005688 2. Abstract We used graphical lasso to estimate the precision matrix…

Documents JCP for covariance matrix estimation

Submitted to the Annals of Statistics arXiv: math.PR/0000000 A WELL CONDITIONED AND SPARSE ESTIMATE OF COVARIANCE AND INVERSE COVARIANCE MATRIX USING A JOINT PENALTY By Ashwini…