{"id":"https://openalex.org/W2135191016","doi":"https://doi.org/10.1109/icassp.2011.5947667","title":"Comparison of several covariance matrix estimators for portfolio optimization","display_name":"Comparison of several covariance matrix estimators for portfolio optimization","publication_year":2011,"publication_date":"2011-05-01","ids":{"openalex":"https://openalex.org/W2135191016","doi":"https://doi.org/10.1109/icassp.2011.5947667","mag":"2135191016"},"language":"en","primary_location":{"id":"doi:10.1109/icassp.2011.5947667","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icassp.2011.5947667","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2011 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5079986527","display_name":"Ka Ki Ng","orcid":"https://orcid.org/0000-0002-7445-115X"},"institutions":[{"id":"https://openalex.org/I219193219","display_name":"Purdue University West Lafayette","ror":"https://ror.org/02dqehb95","country_code":"US","type":"education","lineage":["https://openalex.org/I219193219"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ka Ki Ng","raw_affiliation_strings":["School of Electrical and Computer Engineering, Purdue University, West Lafayette, IN, USA","Purdue University, School of Electrical and Computer Engineering, West Lafayette, IN, 47907, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Electrical and Computer Engineering, Purdue University, West Lafayette, IN, USA","institution_ids":["https://openalex.org/I219193219"]},{"raw_affiliation_string":"Purdue University, School of Electrical and Computer Engineering, West Lafayette, IN, 47907, USA","institution_ids":["https://openalex.org/I219193219"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5017225430","display_name":"Priyanka Agarwal","orcid":"https://orcid.org/0000-0002-2064-9195"},"institutions":[{"id":"https://openalex.org/I219193219","display_name":"Purdue University West Lafayette","ror":"https://ror.org/02dqehb95","country_code":"US","type":"education","lineage":["https://openalex.org/I219193219"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Priyanka Agarwal","raw_affiliation_strings":["Department of Mathematics, Purdue University, West Lafayette, IN, USA","Purdue University Department of Mathematics West Lafayette, IN 47907 USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Purdue University, West Lafayette, IN, USA","institution_ids":["https://openalex.org/I219193219"]},{"raw_affiliation_string":"Purdue University Department of Mathematics West Lafayette, IN 47907 USA","institution_ids":["https://openalex.org/I219193219"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5053903647","display_name":"Nathan Mullen","orcid":null},"institutions":[{"id":"https://openalex.org/I219193219","display_name":"Purdue University West Lafayette","ror":"https://ror.org/02dqehb95","country_code":"US","type":"education","lineage":["https://openalex.org/I219193219"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Nathan Mullen","raw_affiliation_strings":["School of Electrical and Computer Engineering, Purdue University, West Lafayette, IN, USA","Purdue University, School of Electrical and Computer Engineering, West Lafayette, IN, 47907, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Electrical and Computer Engineering, Purdue University, West Lafayette, IN, USA","institution_ids":["https://openalex.org/I219193219"]},{"raw_affiliation_string":"Purdue University, School of Electrical and Computer Engineering, West Lafayette, IN, 47907, USA","institution_ids":["https://openalex.org/I219193219"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5038958464","display_name":"Dzung Du","orcid":null},"institutions":[{"id":"https://openalex.org/I219193219","display_name":"Purdue University West Lafayette","ror":"https://ror.org/02dqehb95","country_code":"US","type":"education","lineage":["https://openalex.org/I219193219"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Dzung Du","raw_affiliation_strings":["School of Aeronautics and Astronautics Engineering and Department of Statistics, Purdue University, West Lafayette, IN, USA","Purdue University, School of Aeronautics and Astronautics Engineering and Department of Statistics, West Lafayette, IN 47907, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Aeronautics and Astronautics Engineering and Department of Statistics, Purdue University, West Lafayette, IN, USA","institution_ids":["https://openalex.org/I219193219"]},{"raw_affiliation_string":"Purdue University, School of Aeronautics and Astronautics Engineering and Department of Statistics, West Lafayette, IN 47907, USA","institution_ids":["https://openalex.org/I219193219"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5083517175","display_name":"Ilya Pollak","orcid":null},"institutions":[{"id":"https://openalex.org/I219193219","display_name":"Purdue University West Lafayette","ror":"https://ror.org/02dqehb95","country_code":"US","type":"education","lineage":["https://openalex.org/I219193219"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ilya Pollak","raw_affiliation_strings":["School of Electrical and Computer Engineering, Purdue University, West Lafayette, IN, USA","Purdue University, School of Electrical and Computer Engineering, West Lafayette, IN, 47907, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Electrical and Computer Engineering, Purdue University, West Lafayette, IN, USA","institution_ids":["https://openalex.org/I219193219"]},{"raw_affiliation_string":"Purdue University, School of Electrical and Computer Engineering, West Lafayette, IN, 47907, USA","institution_ids":["https://openalex.org/I219193219"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":5,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.4275,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.73867878,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"28","issue":null,"first_page":"5752","last_page":"5755"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9998000264167786,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9998000264167786,"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/T11326","display_name":"Stock Market Forecasting Methods","score":0.9966999888420105,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9955999851226807,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/covariance-matrix","display_name":"Covariance matrix","score":0.7759039402008057},{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.7509799003601074},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7310135364532471},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.6721921563148499},{"id":"https://openalex.org/keywords/covariance","display_name":"Covariance","score":0.6404193043708801},{"id":"https://openalex.org/keywords/estimation-of-covariance-matrices","display_name":"Estimation of covariance matrices","score":0.5481781959533691},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.5366123914718628},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5223956108093262},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5153088569641113},{"id":"https://openalex.org/keywords/modern-portfolio-theory","display_name":"Modern portfolio theory","score":0.49722912907600403},{"id":"https://openalex.org/keywords/set","display_name":"Set (abstract data type)","score":0.46045616269111633},{"id":"https://openalex.org/keywords/construct","display_name":"Construct (python library)","score":0.4465039074420929},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.4339887499809265},{"id":"https://openalex.org/keywords/focus","display_name":"Focus (optics)","score":0.41752704977989197},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.387886643409729},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.3290933072566986},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.30192679166793823},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.28279930353164673},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.23177090287208557},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.18656322360038757}],"concepts":[{"id":"https://openalex.org/C185142706","wikidata":"https://www.wikidata.org/wiki/Q1134404","display_name":"Covariance matrix","level":2,"score":0.7759039402008057},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.7509799003601074},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7310135364532471},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.6721921563148499},{"id":"https://openalex.org/C178650346","wikidata":"https://www.wikidata.org/wiki/Q201984","display_name":"Covariance","level":2,"score":0.6404193043708801},{"id":"https://openalex.org/C180877172","wikidata":"https://www.wikidata.org/wiki/Q5401390","display_name":"Estimation of covariance matrices","level":3,"score":0.5481781959533691},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.5366123914718628},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5223956108093262},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5153088569641113},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.49722912907600403},{"id":"https://openalex.org/C177264268","wikidata":"https://www.wikidata.org/wiki/Q1514741","display_name":"Set (abstract data type)","level":2,"score":0.46045616269111633},{"id":"https://openalex.org/C2780801425","wikidata":"https://www.wikidata.org/wiki/Q5164392","display_name":"Construct (python library)","level":2,"score":0.4465039074420929},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.4339887499809265},{"id":"https://openalex.org/C192209626","wikidata":"https://www.wikidata.org/wiki/Q190909","display_name":"Focus (optics)","level":2,"score":0.41752704977989197},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.387886643409729},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.3290933072566986},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.30192679166793823},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.28279930353164673},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.23177090287208557},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.18656322360038757},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C120665830","wikidata":"https://www.wikidata.org/wiki/Q14620","display_name":"Optics","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/icassp.2011.5947667","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icassp.2011.5947667","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2011 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320309036","display_name":"Purdue University","ror":"https://ror.org/02dqehb95"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":9,"referenced_works":["https://openalex.org/W1603098022","https://openalex.org/W2046231816","https://openalex.org/W2047134779","https://openalex.org/W2062125287","https://openalex.org/W2090874083","https://openalex.org/W2165408259","https://openalex.org/W3124227816","https://openalex.org/W4243185460","https://openalex.org/W6807091881"],"related_works":["https://openalex.org/W2921280830","https://openalex.org/W2126916073","https://openalex.org/W2887132723","https://openalex.org/W2572601863","https://openalex.org/W2038723318","https://openalex.org/W1679731869","https://openalex.org/W1670628120","https://openalex.org/W3041177925","https://openalex.org/W2886934452","https://openalex.org/W2024369332"],"abstract_inverted_index":{"Modern":[0],"portfolio":[1],"theory":[2,35],"dates":[3],"back":[4],"to":[5,39,43,51,87,153,159],"a":[6,30,103,147],"seminal":[7],"1952":[8],"paper":[9,140],"by":[10,141],"H.":[11],"Markowitz":[12],"and":[13,22,79,143,151],"has":[14],"been":[15],"very":[16,104],"influential":[17],"both":[18],"in":[19,25,46,49,62,73,175],"academic":[20],"finance":[21],"among":[23],"practitioners":[24],"the":[26,34,41,59,66,88,97,114,173],"financial":[27,91],"industry.":[28],"Given":[29],"set":[31],"of":[32,58,69,116,127],"assets,":[33],"can":[36],"be":[37,44,81,110],"used":[38],"compute":[40],"amount":[42],"invested":[45],"each":[47],"asset":[48,70],"order":[50],"construct":[52],"an":[53],"optimally":[54],"diversified":[55],"portfolio.":[56],"One":[57],"parameters":[60],"required":[61],"this":[63,156,170],"calculation":[64],"is":[65,77,93,171],"covariance":[67,117,132,148],"matrix":[68],"returns":[71],"which,":[72],"any":[74],"practical":[75],"application,":[76],"unknown":[78],"must":[80],"estimated":[82],"from":[83,185],"historical":[84,100],"data.":[85],"Due":[86],"fact":[89],"that":[90,155,169],"data":[92,101],"often":[94],"nonstationary,":[95],"basing":[96],"estimates":[98],"on":[99,136],"over":[102,163],"long":[105],"time":[106],"period":[107],"may":[108],"not":[109,172,180],"advisable.":[111],"This":[112],"renders":[113],"problem":[115],"estimation":[118,149],"difficult,":[119],"especially":[120],"for":[121],"large":[122,125],"portfolios.":[123],"A":[124],"body":[126],"literature":[128],"exists":[129],"proposing":[130],"different":[131],"estimators.":[133],"We":[134,167],"focus":[135],"one":[137],"frequently":[138],"cited":[139],"Ledoit":[142],"Wolf":[144],"which":[145],"proposes":[146],"method":[150,157,178],"purports":[152],"show":[154,168],"leads":[158],"statistically":[160,182],"significant":[161,183],"improvements":[162],"several":[164],"other":[165,187],"methods.":[166,188],"case:":[174],"fact,":[176],"their":[177],"does":[179],"exhibit":[181],"differences":[184],"three":[186]},"counts_by_year":[{"year":2012,"cited_by_count":1}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}
