Maximum likelihood estimation of covariance matrices with constraints on the efficient frontier
Hilal Yilmaz, Neil D. Pearson
| Year of publication: |
2016
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|---|---|
| Authors: | Yilmaz, Hilal ; Pearson, Neil D. |
| Published in: |
International journal of computational economics and econometrics. - Genève [u.a.] : Inderscience Enterprises, ISSN 1757-1170, ZDB-ID 2550146-X. - Vol. 6.2016, 1, p. 71-92
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| Subject: | covariance matrix | mean-variance optimisation | constrained maximum likelihood estimation | Sharpe ratio | shrinkage estimator | global minimum variance portfolio | Monte Carlo simulation | singular | quadratic matrix equation | sample covariance matrix | efficient frontier | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Varianzanalyse | Analysis of variance | Monte-Carlo-Simulation | Lineare Algebra | Linear algebra |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011588856