Variance-Covariance Matrix Estimation for High Dimensional Mean-Variance Optimization: Evidence from Taiwan
碩士 === 國立臺灣大學 === 統計碩士學位學程 === 105 === The classical mean-variance portfolio optimization requires the estimation of an inverse covariance matrix. This is a challenging task given the large number of assets in the market and at the same time limited available historical data. Commonly used methods f...
Main Authors: | , |
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Other Authors: | |
Format: | Others |
Language: | en_US |
Published: |
2017
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Online Access: | http://ndltd.ncl.edu.tw/handle/83vb9x |