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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