A carregar...
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...
Na minha lista:
| Publicado no: | J Econom |
|---|---|
| Main Authors: | , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
2015
|
| Assuntos: | |
| Acesso em linha: | 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 |
| Tags: |
Adicionar Tag
Sem tags, seja o primeiro a adicionar uma tag!
|