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covariance matrix estimation
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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
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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2
Year
2014
2
Creator
McArthur, Gregory D
1
Zhang, Yafei
1
Advisor
Blais, Marcel Y.
2
Contributor
Blais, Marcel Y.
2
Unit (Department)
Mathematical Sciences
2
Publisher
Worcester Polytechnic Institute
2
Resource type
Report
2
