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J. Bai and S. Shi. Estimating high dimensional covariance matrices and its applications. Annals of Economics and Finance, 12:199–215, 11 2011.

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BBD+17

S. Boyd, E. Busseti, S. Diamond, R. N. Kahn, K. Koh, P. Nystrup, and J. Speth. Multi-period trading via convex optimization. 2017. arXiv:1705.00109.

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CM13

G. Coqueret and V. Milhau. Estimating covariance matrices for portfolio optimization. 12 2013. EDHEC Risk Institute.

CJPT18

G. Cornuéjols, J. Peña, and R. Tütüncü. Optimization Methods in Finance. Cambridge University Press, 2 edition, 2018. doi:10.1017/9781107297340.

dP19

M. López de Prado. A robust estimator of the efficient frontier. SSRN Electronic Journal, 01 2019. doi:10.2139/ssrn.3469961.

dPL19

M. López de Prado and M. Lewis. Detection of false investment strategies using unsupervised learning methods. Quantitative Finance, 19:1–11, 07 2019. doi:10.1080/14697688.2019.1622311.

DGNU09

V. Demiguel, L. Garlappi, F. Nogales, and R. Uppal. A generalized approach to portfolio optimization: improving performance by constraining portfolio norms. Management Science, 55:798–812, 05 2009. doi:10.2139/ssrn.1004707.

Dod12

J. Dodson. Why is it so hard to estimate expected returns? 2012. University of Minnesota, School of Mathematics. URL: https://www-users.math.umn.edu/~dodso013/docs/dodson2012-lambda.pdf.

EM75

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JM03

R. Jagannathan and T. Ma. Risk reduction in large portfolios: why imposing the wrong constraint helps. Journal of Finance, 58:1651–1684, 08 2003. doi:10.1111/1540-6261.00580.

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Jor04

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KS13

R. Karels and M. Sun. Active portfolio construction when risk and alpha factors are misaligned. In C. S. Wehn, C. Hoppe, and G. N. Gregoriou, editors, Rethinking Valuation and Pricing Models, pages 399–410. Academic Press, 12 2013. doi:10.1016/B978-0-12-415875-7.00024-5.

LW03a

O. Ledoit and M. Wolf. Honey, i shrunk the sample covariance matrix. The Journal of Portfolio Management, 07 2003. doi:10.2139/ssrn.433840.

LW03b

O. Ledoit and M. Wolf. Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. Journal of Empirical Finance, 10(5):603–621, 2003. doi:https://doi.org/10.1016/S0927-5398(03)00007-0.

LW04

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LW20

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LC98

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LMFB07

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MWOS15

R. Mansini, W. Ogryczak, and M. G. Speranza. Linear and Mixed Integer Programming for Portfolio Optimization. Springer International Publishing, 1 edition, 2015. doi:10.1007/978-3-319-18482-1.

Meu05

A. Meucci. Risk and Asset Allocation. Springer-Verlag Berlin Heidelberg, 1 edition, 2005. doi:10.1007/978-3-540-27904-4.

Meu10a

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Meu10b

A. Meucci. Quant nugget 4: annualization and general projection of skewness, kurtosis and all summary statistics. GARP Risk Professional - "The Quant Classroom", pages 59–63, 08 2010. URL: https://ssrn.com/abstract=1635484.

Meu11

A. Meucci. 'the prayer' ten-step checklist for advanced risk and portfolio management. SSRN, 02 2011. URL: https://ssrn.com/abstract=1753788.

MM08

Richard Michaud and Robert Michaud. Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation 2nd Edition. Oxford University Press, 2 edition, 01 2008.

Ric99

J. A. Richards. An introduction to james–stein estimation. 11 1999. M.I.T. EECS Area Exam Report.

RSTF20

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RWZ99

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TLD+11

B. Tóth, Y. Lemperiere, C. Deremble, J. Lataillade, J. Kockelkoren, and J.-P. Bouchaud. Anomalous price impact and the critical nature of liquidity in financial markets. Physical Review X, 05 2011. doi:10.2139/ssrn.1836508.

VD09

F. J. Nogales V. DeMiguel. Portfolio selection with robust estimation. Operations Research, 57(3):560–577, 02 2009. doi:https://doi.org/10.1287/opre.1080.0566.

WZ07

R. Welsch and X. Zhou. Application of robust statistics to asset allocation models. REVSTAT, 5:97–114, 03 2007.

WO11

M. Woodside-Oriakhi. Portfolio Optimisation with Transaction Cost. PhD thesis, School of Information Systems, Computing and Mathematics, Brunel University, 01 2011.

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