# Robust dependence modeling for high-dimensional covariance matrices with financial applications

@article{Zhu2018RobustDM, title={Robust dependence modeling for high-dimensional covariance matrices with financial applications}, author={Zhe Zhu and R. Welsch}, journal={The Annals of Applied Statistics}, year={2018}, volume={12}, pages={1228-1249} }

A very important problem in finance is the construction of portfolios of assets that balance risk and reward in an optimal way. A critical issue in portfolio development is how to address data outliers that reflect very unusual, generally non-recurring, market conditions. Should we allow these to have a significant impact on our estimation and portfolio construction process or should they be considered separately as evidence of a regime shift and/or be used to adjust baseline results? In… Expand

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