The central message of this paper is that nobody should be using the sample covariance matrix for the purpose of portfolio optimization.
...so you know whether it's worth reading it. Personally, I don't find that type of thing a turn-on.
Tuesday, 1 April 2008
Honey, I shrunk the sample covariance matrix
What a title! The paper starts:
...so you know whether it's worth reading it. Personally, I don't find that type of thing a turn-on.
...so you know whether it's worth reading it. Personally, I don't find that type of thing a turn-on.
Subscribe to:
Post Comments (Atom)
No comments:
Post a Comment