Comparison among High Dimensional Covariance Matrix Estimation Methods Comparación entre métodos de estimación de matrices de covarianza de alta dimensionalidad
Accurate measures of the volatility matrix and its inverse play a central role in risk and portfolio management problems. Due to the accumulation of errors in the estimation of expected returns and covariance matrix, the solution to these problems is very sensitive, particularly when the number of a...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Universidad Nacional de Colombia
2011-01-01
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| Series: | Revista Colombiana de Estadística |
| Subjects: | |
| Online Access: | http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-17512011000300009 |