Covariance Averaging for Improved Estimation and Portfolio Allocation
نویسندگان
چکیده
منابع مشابه
On Portfolio Selection: Improved Covariance Matrix Estimation for Swedish Asset Returns
Mean-Variance (MV) theory for portfolio selection is based on assumptions involving parameters that have to be estimated using historical data. Depending on the method of estimation, the estimates will suffer from estimation error and/or specification error, both of which will effect the portfolio optimization in such a way that the resulting optimal portfolio is not the true optimal portfolio....
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2293396