A Best Linear Empirical Bayes Method for High-Dimensional Covariance Matrix Estimation
Covariance matrix estimation plays a significant role in both in the theory and practice of portfolio analysis and risk management. This paper deals with the available data prior to developing a factor model to enhance covariance matrix estimation. Our work has two main outcomes. First, for a genera...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SAGE Publishing
2023-06-01
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| Series: | SAGE Open |
| Online Access: | https://doi.org/10.1177/21582440231174777 |