{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,10,23]],"date-time":"2024-10-23T05:13:42Z","timestamp":1729660422642,"version":"3.28.0"},"reference-count":53,"publisher":"IEEE","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2012,6]]},"DOI":"10.1109\/sam.2012.6250513","type":"proceedings-article","created":{"date-parts":[[2012,8,1]],"date-time":"2012-08-01T20:49:46Z","timestamp":1343854186000},"page":"369-372","source":"Crossref","is-referenced-by-count":1,"title":["Covariance estimation and related problems in portfolio optimization"],"prefix":"10.1109","author":[{"given":"Ilya","family":"Pollak","sequence":"first","affiliation":[]}],"member":"263","reference":[{"key":"35","doi-asserted-by":"publisher","DOI":"10.1016\/S0047-259X(03)00096-4"},{"key":"36","doi-asserted-by":"publisher","DOI":"10.1007\/978-0-387-77439-8_4"},{"key":"33","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024900000255"},{"key":"34","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(03)00007-0"},{"key":"39","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v45.n1.31"},{"key":"37","doi-asserted-by":"publisher","DOI":"10.2307\/2975974"},{"key":"38","doi-asserted-by":"publisher","DOI":"10.1109\/MSP.2011.941553"},{"key":"43","doi-asserted-by":"publisher","DOI":"10.1103\/PhysRevE.65.066126"},{"key":"42","doi-asserted-by":"publisher","DOI":"10.1103\/PhysRevLett.83.1471"},{"key":"41","doi-asserted-by":"publisher","DOI":"10.1109\/ICASSP.2011.5947667"},{"journal-title":"Efficient Asset Management A Practical Guide to Stock Portfolio Optimization and Asset Allocation","year":"2008","author":"michaud","key":"40"},{"key":"22","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00580"},{"key":"23","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2002.319830"},{"key":"24","first-page":"61","article-title":"Multi-factor models and signal processing techniques: Survey and example","volume":"28","author":"jay","year":"2011","journal-title":"IEEE Signal Processing Magazine"},{"key":"25","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1981.408816"},{"key":"26","doi-asserted-by":"publisher","DOI":"10.1086\/296296"},{"key":"27","doi-asserted-by":"publisher","DOI":"10.2307\/2331042"},{"key":"28","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v48.n1.68"},{"key":"29","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000004129"},{"key":"3","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.2.315"},{"journal-title":"On Portfolio Selection Improved Covariance Matrix Estimation for Swedish Asset Returns","year":"2002","author":"bengtsson","key":"2"},{"key":"1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680903124632"},{"year":"0","author":"louis k c","key":"7"},{"journal-title":"High-dimensionality Effects in the Markowitz Problem and Other Quadratic Programs with Linear Equality Constraints Risk Underestimation","year":"2009","author":"el karoui","key":"30"},{"key":"6","doi-asserted-by":"publisher","DOI":"10.1057\/palgrave.jam.2240207"},{"key":"5","doi-asserted-by":"publisher","DOI":"10.1073\/pnas.0904287106"},{"key":"32","doi-asserted-by":"publisher","DOI":"10.1103\/PhysRevLett.83.1467"},{"key":"4","doi-asserted-by":"publisher","DOI":"10.1007\/BF02282040"},{"journal-title":"On the Realized Risk of Markowitz Portfolios","year":"2009","author":"el karoui","key":"31"},{"key":"9","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1993.409440"},{"key":"8","doi-asserted-by":"publisher","DOI":"10.1086\/296344"},{"key":"19","doi-asserted-by":"publisher","DOI":"10.1287\/moor.28.1.1.14260"},{"key":"17","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v57.n5.2482"},{"key":"18","doi-asserted-by":"crossref","first-page":"41","DOI":"10.1093\/rfs\/hhl003","article-title":"Portfolio selection with parameter and model uncertainty: A multi-prior approach","volume":"20","author":"garlappi","year":"2007","journal-title":"The Review of Financial Studies"},{"key":"15","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05169.x"},{"key":"16","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(96)00896-3"},{"key":"13","doi-asserted-by":"publisher","DOI":"10.3905\/JPM.2009.35.2.071"},{"key":"14","first-page":"1203","article-title":"Estimating the dependence structure of share prices","volume":"28","author":"elton","year":"1973","journal-title":"The Journal of Finance"},{"key":"11","first-page":"2009","article-title":"Optimal versus naive diversification: How inefficient is the 1\/N portfolio strategy?","volume":"22","author":"demiguel","year":"1915","journal-title":"The Review of Financial Studies"},{"key":"12","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1080.0986"},{"key":"21","doi-asserted-by":"publisher","DOI":"10.1007\/s10287-011-0130-2"},{"key":"20","doi-asserted-by":"publisher","DOI":"10.1080\/13518470601137592"},{"key":"49","doi-asserted-by":"crossref","first-page":"119","DOI":"10.1086\/294846","article-title":"Mutual fund performance","volume":"39","author":"sharpe","year":"1966","journal-title":"Journal of Business"},{"key":"48","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.9.2.277"},{"journal-title":"Statistics and Data Analysis for Financial Engineering","year":"2010","author":"ruppert","key":"45"},{"key":"44","doi-asserted-by":"publisher","DOI":"10.1109\/CAMSAP.2011.6136031"},{"key":"47","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v58.n6.2489"},{"key":"46","doi-asserted-by":"publisher","DOI":"10.2202\/1544-6115.1175"},{"key":"10","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2007.690606"},{"key":"51","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.08.013"},{"key":"52","doi-asserted-by":"publisher","DOI":"10.1023\/B:ANOR.0000045281.41041.ed"},{"journal-title":"Maximum likelihood covariance estimation with a condition number constraint","year":"2009","author":"won","key":"53"},{"key":"50","doi-asserted-by":"publisher","DOI":"10.1109\/MSP.2011.941552"}],"event":{"name":"2012 IEEE 7th Sensor Array and Multichannel Signal Processing Workshop (SAM)","start":{"date-parts":[[2012,6,17]]},"location":"Hoboken, NJ, USA","end":{"date-parts":[[2012,6,20]]}},"container-title":["2012 IEEE 7th Sensor Array and Multichannel Signal Processing Workshop (SAM)"],"original-title":[],"link":[{"URL":"http:\/\/xplorestaging.ieee.org\/ielx5\/6244722\/6250436\/06250513.pdf?arnumber=6250513","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2017,6,20]],"date-time":"2017-06-20T22:19:35Z","timestamp":1497997175000},"score":1,"resource":{"primary":{"URL":"http:\/\/ieeexplore.ieee.org\/document\/6250513\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2012,6]]},"references-count":53,"URL":"https:\/\/doi.org\/10.1109\/sam.2012.6250513","relation":{},"subject":[],"published":{"date-parts":[[2012,6]]}}}