When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
Year of publication: |
2011
|
---|---|
Authors: | Pantaleo, Ester ; Tumminello, Michele ; Lillo, Fabrizio ; Mantegna, Rosario |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 11.2011, 7, p. 1067-1080
|
Publisher: |
Taylor & Francis Journals |
Subject: | Portfolio optimization | Correlation structures | Statistical methods | Econophysics |
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