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...
保存先:
| 出版年: | Revista Colombiana de Estadística |
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| 主要な著者: | , |
| フォーマット: | Artigo |
| 言語: | Inglês |
| 出版事項: |
Universidad Nacional de Colombia
2011
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| 主題: | |
| オンライン･アクセス: | https://www.redalyc.org/articulo.oa?id=89922501010 |
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