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Persistent link: https://www.econbiz.de/10014531731
In this paper, we perform a comprehensive study of different covariance and precision matrix estimation methods in the context of minimum variance portfolio allocation. The set of models studied by us can be broadly categorized as: Gaussian Graphical Model (GGM) based methods, Shrinkage Methods,...
Persistent link: https://www.econbiz.de/10014350517