Covariance Matrix Estimation under Total Positivity for Portfolio Selection
<jats:title>Abstract</jats:title> <jats:p>Selecting the optimal Markowitz portfolio depends on estimating the covariance matrix of the returns of N assets from T periods of historical data. Problematically, N is typically of the same order as T, which makes the sample covariance ma...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Oxford University Press (OUP),
2022-07-21T13:17:57Z.
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| Subjects: | |
| Online Access: | Get fulltext |