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1. 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