Advances in estimating covariance matrices
Jose Menchero and Lei Ji
| Year of publication: |
2021
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|---|---|
| Authors: | Menchero, Jose ; Ji, Lei |
| Published in: |
Journal of investment management : JOIM. - Lafayette, Calif., ISSN 1545-9144, ZDB-ID 2495180-8. - Vol. 19.2021, 3, p. 60-80
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| Subject: | Portfolio optimization | covariance matrices | sampling error | shrinkage | principle component analysis | integrated factor models | multi-asset-class risk models | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Schätztheorie | Estimation theory | Stichprobenerhebung | Sampling | Faktorenanalyse | Factor analysis | Lineare Algebra | Linear algebra | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013041084