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In practice, $\\Sigma$ is often not available, and only its empirical counterpart, $\\hat{\\Sigma}$, is available. To robustify to this approximation error, a common practice is to consider a family of covariance matrices in the vicinity of $\\Sigma$.The linked repository contains MATLAB files corresponding to the numerical results of the paper 'A Saddle Point Algorithm for Robust Data-Driven Factor Model Problems'.","descriptionType":"Abstract"}],"geoLocations":[],"fundingReferences":[],"xml":"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","url":"https://data.4tu.nl/datasets/f25270e0-4054-4e9d-85da-5908a07a3874","contentUrl":null,"metadataVersion":0,"schemaVersion":"http://datacite.org/schema/kernel-4","source":"api","isActive":true,"state":"findable","reason":null,"viewCount":0,"viewsOverTime":[],"downloadCount":0,"downloadsOverTime":[],"referenceCount":0,"citationCount":0,"citationsOverTime":[],"partCount":0,"partOfCount":0,"versionCount":0,"versionOfCount":1,"created":"2025-06-17T11:45:54.000Z","registered":"2025-06-17T11:45:55.000Z","published":"2025","updated":"2025-06-17T11:45:55.000Z"},"relationships":{"client":{"data":{"id":"delft.data4tu","type":"clients"}},"provider":{"data":{"id":"scpr","type":"providers"}},"media":{"data":{"id":"10.4121/f25270e0-4054-4e9d-85da-5908a07a3874","type":"media"}},"references":{"data":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