Covariance averaging for improved estimation and portfolio allocation
Year of publication: |
2015
|
---|---|
Authors: | Papailias, Fotis ; Thomakos, Dimitrios |
Published in: |
Financial Markets and Portfolio Management. - Springer, ISSN 1555-4961. - Vol. 29.2015, 1, p. 31-59
|
Publisher: |
Springer |
Subject: | Averaging | Covariance estimation | Portfolio allocation | Rolling window |
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