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

Mot-clé:

covariance matrix estimation, shrink-, and Ledoit's model

Créateur:

McArthur, Gregory D

Advisor:

Blais, Marcel Y.

Éditeur:

Worcester Polytechnic Institute

date créée:

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

Mot-clé:

covariance matrix estimation, CALM, shrinkage parameter, Ledoit's model, and forward looking signal

Créateur:

Zhang, Yafei

Advisor:

Blais, Marcel Y.

Éditeur:

Worcester Polytechnic Institute

date créée:

2014-05-08

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences