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...
Na minha lista:
| Principais autores: | , , |
|---|---|
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Lahore School of Economics
2024-07-01
|
| Colecção: | Lahore Journal of Economics |
| Assuntos: | |
| Acesso em linha: | https://journals.lahoreschool.edu.pk/LJE/LJE/article/view/492 |
| Tags: |
Sem tags, seja o primeiro a adicionar uma tag!
|