Showing 1 - 10 of 1,753
Persistent link: https://www.econbiz.de/10013041084
We consider the estimation of integrated covariance (ICV) matrices of high dimensional diffusion processes based on high frequency observations. We start by studying the most commonly used estimator, the realized covariance (RCV) matrix. We show that in the high dimensional case when the...
Persistent link: https://www.econbiz.de/10013133558
The Markowitz mean-variance framework is the foundation of modern portfolio theory. One problem with this approach, however, is how sample covariance matrices tend to underestimate risk. Since the biases of optimized portfolios are closely related to eigenfactor portfolios, we present a...
Persistent link: https://www.econbiz.de/10013121223
Persistent link: https://www.econbiz.de/10014391463
Persistent link: https://www.econbiz.de/10010353340
Persistent link: https://www.econbiz.de/10008736837
Persistent link: https://www.econbiz.de/10011894432
Persistent link: https://www.econbiz.de/10011897698
Persistent link: https://www.econbiz.de/10011705144
Persistent link: https://www.econbiz.de/10011588856