Asset Allocation Strategies Using Covariance Matrix Estimators
The covariance matrix is an important element of many asset allocation strategies. The widely used sample covariance matrix estimator is unstable especially when the number of time observations is small and the number of assets is large or when high-dimensional data is involved in the computation. I...
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| Format: | Article |
| Language: | English |
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Scientia Publishing House
2022-09-01
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| Series: | Acta Universitatis Sapientiae: Economics and Business |
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| Online Access: | https://doi.org/10.2478/auseb-2022-0008 |