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Risks of Large Portfolios
The risk of a large portfolio is often estimated by substituting a good estimator of the volatility matrix. However, the accuracy of such a risk estimator is largely unknown. We study factor-based risk estimators under a large amount of assets, and introduce a high-confidence level upper bound (H-CL...
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| Pubblicato in: | J Econom |
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| Autori principali: | , , |
| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
2015
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| Soggetti: | |
| Accesso online: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4504849/ https://ncbi.nlm.nih.gov/pubmed/26195851 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.jeconom.2015.02.015 |
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