Essays about: "covariance ma- trix"

Found 1 essay containing the words covariance ma- trix.

  1. 1. Mean-Variance Portfolio Optimization : Challenging the role of traditional covariance estimation

    University essay from KTH/Industriell Marknadsföring och Entreprenörskap

    Author : ZAKARIA MARAKBI; [2016]
    Keywords : portfolio allocation; mean-variance optimization; efficient frontier; covariance ma- trix; estimation error; optimization enigma; random matrix theory; shrinking; robust statistics;

    Abstract : Ever since its introduction in 1952, the Mean-Variance (MV) portfolio selection theory has remained a centerpiece within the realm of e_cient asset allocation. However, in scienti_c circles, the theory has stirred controversy. READ MORE