Dynamic Covariance Estimation under Structural Assumptions via a Joint Optimization Approach

Dynamic Covariance Estimation under Structural Assumptions via a Joint Optimization Approach

Dynamic covariance estimation is a problem of fundamental importance in statistics, econometrics, with important applications in finance, especially portfolio optimization. While there is a large body of work on static covariance estimation, the current literature on dynamic covariance estimation is...

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Bibliographic Details
Main Authors: Chen, Wenyu, Benbaki, Riade, Zhu, Yada, Mazumder, Rahul
Other Authors: Massachusetts Institute of Technology. Operations Research Center
Format: Article
Language:English
Published: ACM|4th ACM International Conference on AI in Finance 2023
Online Access:https://hdl.handle.net/1721.1/153141

Internet

https://hdl.handle.net/1721.1/153141

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