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Filtering by: Contributor Blais, Marcel Y. Publisher Worcester Polytechnic Institute Year 2014

1. Portfolio Construction Using Principle Component Analysis

Keyword:: Principle Component Analysis
Creator:: Chen, Huanting
Advisor:: Blais, Marcel Y.
Publisher:: Worcester Polytechnic Institute
Date Created:: 2014-08-06
Resource Type:: Report
Degree:: MS
Unit (Department):: Mathematical Sciences

2. Comparative Analysis of Ledoit's Covariance Matrix and Comparative Adjustment Liability Model (CALM) Within the Markowitz Framework

Keyword:: covariance matrix estimation, shrink-, and Ledoit's model
Creator:: McArthur, Gregory D
Advisor:: Blais, Marcel Y.
Publisher:: Worcester Polytechnic Institute
Date Created:: 2014-05-09
Resource Type:: Report
Degree:: MS
Unit (Department):: Mathematical Sciences

3. 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