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Filtering by: Contributor Blais, Marcel Y. Creator Zhang, Yafei

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