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Blais, Marcel Y.
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Zhang, Yafei
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Comparative Analysis of Ledoit's Covariance Matrix and Comparative Adjustment Liability Management (CALM) Model Within the Markowitz Framework
Keyword:
covariance matrix estimation
,
CALM
,
shrinkage parameter
,
Ledoit's model
, and
forward looking signal
Creator:
Zhang, Yafei
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2014-05-08
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
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2014
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Creator
Zhang, Yafei
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Advisor
Blais, Marcel Y.
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Blais, Marcel Y.
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Unit (Department)
Mathematical Sciences
1
Publisher
Worcester Polytechnic Institute
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Resource type
Report
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