Covariance Matrix Estimation under Total Positivity for Portfolio Selection

Covariance Matrix Estimation under Total Positivity for Portfolio Selection

<jats:title>Abstract</jats:title> <jats:p>Selecting the optimal Markowitz portfolio depends on estimating the covariance matrix of the returns of N assets from T periods of historical data. Problematically, N is typically of the same order as T, which makes the samp...

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Bibliographic Details
Main Authors: Agrawal, Raj, Roy, Uma, Uhler, Caroline
Other Authors: Massachusetts Institute of Technology. Computer Science and Artificial Intelligence Laboratory
Format: Article
Language:English
Published: Oxford University Press (OUP) 2022
Online Access:https://hdl.handle.net/1721.1/143912

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