The MHRA Style Guide Online
A Handbook for Authors and Editors • Third Edition
From Chapter 6, 'Capitals'
6.6 Accented Capitals
Accents should be retained on capitals in languages other than English, e.g.:
le Moyen Âge, Éire, el Éufrates, Ólafsson
However, the French preposition à may drop the accent when capitalized (A bientôt! ‘See you soon!’). Accents may also be omitted when using single letters as abbreviations, as in P. E. for Paul Éluard.