<i>k</i>-Covariance: An Approach of Ensemble Covariance Estimation and Undersampling to Stabilize the Covariance Matrix in the Global Minimum Variance Portfolio

<i>k</i>-Covariance: An Approach of Ensemble Covariance Estimation and Undersampling to Stabilize the Covariance Matrix in the Global Minimum Variance Portfolio

A covariance matrix is an important parameter in many computational applications, such as quantitative trading. Recently, a global minimum variance portfolio received great attention due to its performance after the 2007–2008 financial crisis, and this portfolio uses only a covariance matrix to calc...

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Bibliographic Details
Main Authors: Tuan Tran, Nhat Nguyen, Trung Nguyen
Format: Article
Language:English
Published: MDPI AG 2022-06-01
Series:Applied Sciences
Subjects:
ensemble learning
undersampling
covariance matrix
shrinkage estimation
minimum variance portfolio
Online Access:https://www.mdpi.com/2076-3417/12/13/6403

Internet

https://www.mdpi.com/2076-3417/12/13/6403

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