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...
| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
ACM|4th ACM International Conference on AI in Finance
2023
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| Online Access: | https://hdl.handle.net/1721.1/153141 |