Comparison among High Dimensional Covariance Matrix Estimation Methods
Accurate measures of the volatility matrix and its inverse play a central role in risk and portfolio management problems. Due to the accumulation of errors in the estimation of expected returns and covariance matrix, the solution to these problems is very sensitive, particularly when the number of a...
שמור ב:
| הוצא לאור ב: | Revista Colombiana de Estadística |
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| Principais autores: | , |
| פורמט: | Artigo |
| שפה: | Inglês |
| יצא לאור: |
Universidad Nacional de Colombia
2011
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| נושאים: | |
| גישה מקוונת: | https://www.redalyc.org/articulo.oa?id=89922501010 |
| תגים: |
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