{"id":"https://openalex.org/W2006260918","doi":"https://doi.org/10.1109/acssc.2014.7094675","title":"Minimum variance portfolio optimization with robust shrinkage covariance estimation","display_name":"Minimum variance portfolio optimization with robust shrinkage covariance estimation","publication_year":2014,"publication_date":"2014-11-01","ids":{"openalex":"https://openalex.org/W2006260918","doi":"https://doi.org/10.1109/acssc.2014.7094675","mag":"2006260918"},"language":"en","primary_location":{"id":"doi:10.1109/acssc.2014.7094675","is_oa":false,"landing_page_url":"https://doi.org/10.1109/acssc.2014.7094675","pdf_url":null,"source":{"id":"https://openalex.org/S4363608593","display_name":"2014 48th Asilomar Conference on Signals, Systems and Computers","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2014 48th Asilomar Conference on Signals, Systems and Computers","raw_type":"proceedings-article"},"type":"conference-paper","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://hal.science/hal-01098888","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5036598759","display_name":"Liusha Yang","orcid":"https://orcid.org/0000-0003-0176-5446"},"institutions":[{"id":"https://openalex.org/I200769079","display_name":"Hong Kong University of Science and Technology","ror":"https://ror.org/00q4vv597","country_code":"HK","type":"education","lineage":["https://openalex.org/I200769079"]},{"id":"https://openalex.org/I4210142478","display_name":"HKU-Pasteur Research Pole","ror":"https://ror.org/03wwjjr94","country_code":"HK","type":"facility","lineage":["https://openalex.org/I4210142478"]},{"id":"https://openalex.org/I889458895","display_name":"University of Hong Kong","ror":"https://ror.org/02zhqgq86","country_code":"HK","type":"education","lineage":["https://openalex.org/I889458895"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Liusha Yang","raw_affiliation_strings":["Department of Electronic and Computer Engineering, Hong Kong University of Science and Technology, Hong Kong","HKU - The University of Hong Kong (Pokfulam, Hong Kong - Hong Kong SAR China)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Electronic and Computer Engineering, Hong Kong University of Science and Technology, Hong Kong","institution_ids":["https://openalex.org/I200769079"]},{"raw_affiliation_string":"HKU - The University of Hong Kong (Pokfulam, Hong Kong - Hong Kong SAR China)","institution_ids":["https://openalex.org/I4210142478","https://openalex.org/I889458895"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5021257434","display_name":"Romain Couillet","orcid":"https://orcid.org/0000-0001-5755-2090"},"institutions":[{"id":"https://openalex.org/I102475099","display_name":"Sup\u00e9lec","ror":"https://ror.org/00n7gwn90","country_code":"FR","type":"education","lineage":["https://openalex.org/I102475099"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Romain Couillet","raw_affiliation_strings":["Telecommunication Department, Sup\u00e9lec, France","E3S - Sup\u00e9lec Sciences des Syst\u00e8mes (Plateau du Moulon - 3 rue Joliot-Curie  -  91192 GIF-SUR-YVETTE CEDEX - France)","Chaire Radio Flexible - Chaire Radio Flexible Alcatel-Lucent/Sup\u00e9lec (Plateau du Moulon 3, rue Joliot-Curie 91192 Gif-sur-Yvette Cedex - France)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Telecommunication Department, Sup\u00e9lec, France","institution_ids":["https://openalex.org/I102475099"]},{"raw_affiliation_string":"E3S - Sup\u00e9lec Sciences des Syst\u00e8mes (Plateau du Moulon - 3 rue Joliot-Curie  -  91192 GIF-SUR-YVETTE CEDEX - France)","institution_ids":["https://openalex.org/I102475099"]},{"raw_affiliation_string":"Chaire Radio Flexible - Chaire Radio Flexible Alcatel-Lucent/Sup\u00e9lec (Plateau du Moulon 3, rue Joliot-Curie 91192 Gif-sur-Yvette Cedex - France)","institution_ids":["https://openalex.org/I102475099"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5091126453","display_name":"Matthew R. McKay","orcid":"https://orcid.org/0000-0002-8086-2545"},"institutions":[{"id":"https://openalex.org/I200769079","display_name":"Hong Kong University of Science and Technology","ror":"https://ror.org/00q4vv597","country_code":"HK","type":"education","lineage":["https://openalex.org/I200769079"]},{"id":"https://openalex.org/I4210142478","display_name":"HKU-Pasteur Research Pole","ror":"https://ror.org/03wwjjr94","country_code":"HK","type":"facility","lineage":["https://openalex.org/I4210142478"]},{"id":"https://openalex.org/I889458895","display_name":"University of Hong Kong","ror":"https://ror.org/02zhqgq86","country_code":"HK","type":"education","lineage":["https://openalex.org/I889458895"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Matthew R. McKay","raw_affiliation_strings":["Department of Electronic and Computer Engineering, Hong Kong University of Science and Technology, Hong Kong","HKU - The University of Hong Kong (Pokfulam, Hong Kong - Hong Kong SAR China)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Electronic and Computer Engineering, Hong Kong University of Science and Technology, Hong Kong","institution_ids":["https://openalex.org/I200769079"]},{"raw_affiliation_string":"HKU - The University of Hong Kong (Pokfulam, Hong Kong - Hong Kong SAR China)","institution_ids":["https://openalex.org/I4210142478","https://openalex.org/I889458895"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":13,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"1326","last_page":"1330"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11871","display_name":"Advanced Statistical Methods and Models","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10968","display_name":"Statistical Distribution Estimation and Applications","score":0.9943000078201294,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.8297408819198608},{"id":"https://openalex.org/keywords/covariance-matrix","display_name":"Covariance matrix","score":0.7255668044090271},{"id":"https://openalex.org/keywords/shrinkage-estimator","display_name":"Shrinkage estimator","score":0.6599318385124207},{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.6273199915885925},{"id":"https://openalex.org/keywords/estimation-of-covariance-matrices","display_name":"Estimation of covariance matrices","score":0.6164628863334656},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5836504697799683},{"id":"https://openalex.org/keywords/outlier","display_name":"Outlier","score":0.5323475003242493},{"id":"https://openalex.org/keywords/modern-portfolio-theory","display_name":"Modern portfolio theory","score":0.5214504599571228},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5032703280448914},{"id":"https://openalex.org/keywords/covariance","display_name":"Covariance","score":0.4808136224746704},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.44832414388656616},{"id":"https://openalex.org/keywords/minimum-variance-unbiased-estimator","display_name":"Minimum-variance unbiased estimator","score":0.4248822033405304},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4150780439376831},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.37789708375930786},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.297079473733902},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.27901512384414673},{"id":"https://openalex.org/keywords/bias-of-an-estimator","display_name":"Bias of an estimator","score":0.15880319476127625},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.12892630696296692},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.11332118511199951}],"concepts":[{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.8297408819198608},{"id":"https://openalex.org/C185142706","wikidata":"https://www.wikidata.org/wiki/Q1134404","display_name":"Covariance matrix","level":2,"score":0.7255668044090271},{"id":"https://openalex.org/C102592046","wikidata":"https://www.wikidata.org/wiki/Q7504144","display_name":"Shrinkage estimator","level":5,"score":0.6599318385124207},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.6273199915885925},{"id":"https://openalex.org/C180877172","wikidata":"https://www.wikidata.org/wiki/Q5401390","display_name":"Estimation of covariance matrices","level":3,"score":0.6164628863334656},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5836504697799683},{"id":"https://openalex.org/C79337645","wikidata":"https://www.wikidata.org/wiki/Q779824","display_name":"Outlier","level":2,"score":0.5323475003242493},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.5214504599571228},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5032703280448914},{"id":"https://openalex.org/C178650346","wikidata":"https://www.wikidata.org/wiki/Q201984","display_name":"Covariance","level":2,"score":0.4808136224746704},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.44832414388656616},{"id":"https://openalex.org/C165646398","wikidata":"https://www.wikidata.org/wiki/Q3755281","display_name":"Minimum-variance unbiased estimator","level":3,"score":0.4248822033405304},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4150780439376831},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.37789708375930786},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.297079473733902},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.27901512384414673},{"id":"https://openalex.org/C191393472","wikidata":"https://www.wikidata.org/wiki/Q15222032","display_name":"Bias of an estimator","level":4,"score":0.15880319476127625},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.12892630696296692},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.11332118511199951}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1109/acssc.2014.7094675","is_oa":false,"landing_page_url":"https://doi.org/10.1109/acssc.2014.7094675","pdf_url":null,"source":{"id":"https://openalex.org/S4363608593","display_name":"2014 48th Asilomar Conference on Signals, Systems and Computers","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2014 48th Asilomar Conference on Signals, Systems and Computers","raw_type":"proceedings-article"},{"id":"pmh:oai:HAL:hal-01098888v1","is_oa":true,"landing_page_url":"https://hal.science/hal-01098888","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"48th Asilomar Conference on Signals, Systems and Computers, Nov 2014, Pacific Grove, United States. ⟨10.1109/acssc.2014.7094675⟩","raw_type":"info:eu-repo/semantics/conferenceObject"},{"id":"pmh:oai:repository.hkust.edu.hk:1783.1-69619","is_oa":false,"landing_page_url":"http://www.scopus.com/record/display.url?eid=2-s2.0-84940564431&origin=inward","pdf_url":null,"source":{"id":"https://openalex.org/S4306401796","display_name":"Rare & Special e-Zone (The Hong Kong University of Science and Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I200769079","host_organization_name":"Hong Kong University of Science and Technology","host_organization_lineage":["https://openalex.org/I200769079"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Conference paper"}],"best_oa_location":{"id":"pmh:oai:HAL:hal-01098888v1","is_oa":true,"landing_page_url":"https://hal.science/hal-01098888","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"48th Asilomar Conference on Signals, Systems and Computers, Nov 2014, Pacific Grove, United States. ⟨10.1109/acssc.2014.7094675⟩","raw_type":"info:eu-repo/semantics/conferenceObject"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W1559535630","https://openalex.org/W1965928820","https://openalex.org/W1974640819","https://openalex.org/W1979573625","https://openalex.org/W2008418230","https://openalex.org/W2026239436","https://openalex.org/W2046033161","https://openalex.org/W2056218466","https://openalex.org/W2062125287","https://openalex.org/W2084478869","https://openalex.org/W2115972246","https://openalex.org/W2147116730","https://openalex.org/W2163969674","https://openalex.org/W2165408259","https://openalex.org/W3121451334","https://openalex.org/W3151203283","https://openalex.org/W4236670843","https://openalex.org/W6677204306"],"related_works":["https://openalex.org/W3198789915","https://openalex.org/W2342245948","https://openalex.org/W2113583687","https://openalex.org/W2396009620","https://openalex.org/W3141254748","https://openalex.org/W4387811153","https://openalex.org/W4392682043","https://openalex.org/W1589314636","https://openalex.org/W2498125471","https://openalex.org/W4312259442"],"abstract_inverted_index":{"We":[0,75],"study":[1],"the":[2,14,19,22,33,42,47,72,83,118,124,132],"design":[3],"of":[4,13,26,38,44,85,113,117],"portfolios":[5],"under":[6],"a":[7,86,110,114,152],"minimum":[8],"risk":[9],"criterion.":[10],"The":[11],"performance":[12,84],"optimized":[15,129],"portfolio":[16,27,119,135],"relies":[17],"on":[18,92,97,122],"accuracy":[20],"to":[21,41,77,130,142],"estimated":[23],"covariance":[24,50,73,88],"matrix":[25,51,89,106],"asset":[28],"returns.":[29],"For":[30],"large":[31],"portfolios,":[32],"sample":[34,49],"size":[35],"is":[36,127,138],"often":[37,58],"similar":[39],"order":[40],"number":[43],"assets,":[45],"and":[46,61,96,150],"traditional":[48],"performs":[52],"poorly.":[53],"Additionally,":[54],"financial":[55],"market":[56,154],"data":[57,149,155],"involve":[59],"outliers":[60],"exhibit":[62],"heavy-tails,":[63],"which,":[64,123],"if":[65],"not":[66],"correctly":[67],"handled,":[68],"may":[69],"further":[70],"corrupt":[71],"estimation.":[74],"aim":[76],"address":[78],"these":[79],"problems":[80],"by":[81],"studying":[82],"hybrid":[87],"estimator":[90,112],"based":[91,121],"Tyler's":[93],"robust":[94],"M-estimator":[95],"Ledoit-Wolf's":[98],"shrinkage":[99,125],"estimator.":[100],"Employing":[101],"recent":[102],"results":[103],"from":[104,157],"random":[105],"theory,":[107],"we":[108],"develop":[109],"consistent":[111],"scaled":[115],"version":[116],"risk,":[120],"intensity":[126],"directly":[128],"minimize":[131],"risk.":[133],"Our":[134],"optimization":[136],"method":[137],"shown":[139],"via":[140],"simulations":[141],"outperform":[143],"existing":[144],"methods":[145],"both":[146],"for":[147,151],"synthetic":[148],"real":[153],"set":[156],"Hang":[158],"Seng":[159],"Index.":[160]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":1}],"updated_date":"2026-07-23T08:03:31.855105","created_date":"2025-10-10T00:00:00"}