Search Results for author: Juntao Duan

Found 5 papers, 0 papers with code

LoCoV: low dimension covariance voting algorithm for portfolio optimization

no code implementations1 Apr 2022 Juntao Duan, Ionel Popescu

Minimum-variance portfolio optimizations rely on accurate covariance estimator to obtain optimal portfolios.

Portfolio Optimization

Recover the spectrum of covariance matrix: a non-asymptotic iterative method

no code implementations1 Jan 2022 Juntao Duan, Ionel Popescu, Heinrich Matzinger

It is well known the sample covariance has a consistent bias in the spectrum, for example spectrum of Wishart matrix follows the Marchenko-Pastur law.

Invariance principle of random projection for the norm

no code implementations1 Dec 2021 Juntao Duan, Ionel Popescu, Heinrich Matzinger

In particular we prove the distribution of the norm of random vector $X \in \mathbb{R}^n$, whose entries are i. i. d.

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