Essays about: "Martin Claeson"

Found 2 essays containing the words Martin Claeson.

1. 1. An alternative approach for solving the problem of close to singular covariance matrices in modern portfolio theory

   University essay from Lunds universitet/Statistiska institutionen

   Author : Martin Claeson; [2017]
   Keywords : global minimum variance portfolio; singular covariance matrix; sector index portfolio; Business and Economics; Mathematics and Statistics;

   Abstract : In this thesis the effects of utilizing the sample covariance matrix in the estimation of the global minimum variance (GMV) portfolio are presented. When the number of assets, N, are close to the number of observations, T, the sample covariance matrix approaches singularity, leading to a lot of uncertainties in form of estimation error. READ MORE

3. 2. A critical review of the global minimum variance theory

   University essay from Lunds universitet/Statistiska institutionen

   Author : Martin Claeson; [2016]
   Keywords : Mathematics and Statistics;

   Abstract : The main purpose of this thesis is to give a basic understanding of the GMV portfolio theory and the problematics that arise when using the sample covariance matrix as the only parameter. The reason for this is the amount of estimation error that tends to increase as the sample covariance matrix goes to a higher dimension. READ MORE