A study of covariance matrix estimators for Markowitz mean-variance portfolio optimization

• المؤلف الرئيسي: Luo, Yun
• مؤلفون آخرون: Tay Wee Peng
• التنسيق: Final Year Project
• اللغة: English
• منشور في: 2015
• الموضوعات: DRNTU::Engineering::Electrical and electronic engineering
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/64240

This paper aims to compare the performance of 3 covariance matrix estimators with respect to sample covariance matrix in terms of portfolio optimisation using historical return data of 30 top stocks traded at Singapore market from May 2012 to October 2014. The comparison shows that the improvement o...