Alexandre Antonov, Alexander Lipton and Marcos Lopez de Prado compare and contrast two portfolio allocation methods: the classical Markowitz approach and the hierarchical risk parity (HRP) approach.

Inspired by high-dimensional data and the ideals of open science, high-energy physicists are using artificial intelligence to ...

In this paper, a covariance matrix reconstruction-based wideband adaptive beamforming algorithm is proposed to maintain excellent interference suppression performance with low computational complexity ...

Machine learning for multivariate data through the Riemannian geometry of positive definite matrices in Python ...

Then, we formulate such Hermitian Toeplitz matrix estimation as the problem of minimizing the covariance fitting (CF) criterion. We further prove that the solution to the formulated problem is a large ...

Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. Dr. JeFreda R. Brown is a financial ...