Comparison of several covariance matrix estimators for portfolio optimization

ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings

Volumn , Issue , 2011, Pages 5752-5755

  Ng, Ka Ki ^a   Agarwal, Priyanka ^b   Mullen, Nathan ^a   Du, Dzung ^a   Pollak, Ilya ^a  

^a PURDUE UNIVERSITY   (United States)

^b PURDUE UNIVERSITY   (United States)

Author keywords

covariance; finance; market; Markowitz; Portfolios; statistical significance; stock

Indexed keywords

COVARIANCE; MARKET; MARKOWITZ; PORTFOLIOS; STATISTICAL SIGNIFICANCE; STOCK;

ESTIMATION; FINANCE; FINANCIAL DATA PROCESSING; SIGNAL PROCESSING; SPEECH COMMUNICATION;

COVARIANCE MATRIX;

EID: 80051658699     PISSN: 15206149     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ICASSP.2011.5947667     Document Type: Conference Paper

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