A study of covariance matrix estimators for Markowitz mean-variance portfolio optimization
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...
Saved in:
| 主要作者: | |
|---|---|
| 其他作者: | |
| 格式: | Final Year Project |
| 語言: | English |
| 出版: |
2015
|
| 主題: | |
| 在線閱讀: | http://hdl.handle.net/10356/64240 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|