When do improved covariance matrix estimators enhance...

Quantitative Finance 2011 / 07 Vol. 11; Iss. 7

When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators

Pantaleo, Ester, Tumminello, Michele, Lillo, Fabrizio, Mantegna, Rosario N.
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Volume:
11
Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2010.534813
Date:
July, 2011
File:
PDF, 595 KB
english, 2011
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