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...

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Bibliographic Details
Main Authors: Han Chiu, 裘涵
Other Authors: Yen-Cheng Chang
Format: Others
Language:en_US
Published: 2017
Online Access:http://ndltd.ncl.edu.tw/handle/83vb9x