Shrinking the Variance-Covariance Matrix: Simpler is Better
This study focuses on the estimation of the covariance matrix as an input to portfolio optimization. We compare 12 covariance estimators across four categories – conventional methods, factor models, portfolios of estimators and the shrinkage approach – applied to five emerging Asian economies (Indi...
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| Главные авторы: | , , |
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| Формат: | Artigo |
| Язык: | Inglês |
| Опубликовано: |
Lahore School of Economics
2024-07-01
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| Серии: | Lahore Journal of Economics |
| Предметы: | |
| Online-ссылка: | https://journals.lahoreschool.edu.pk/LJE/LJE/article/view/492 |
| Метки: |
Нет меток, Требуется 1-ая метка записи!
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