Directional Variance Adjustment: Bias Reduction in...

PLoS ONE 2013 / 7 Vol. 8; Iss. 7

Directional Variance Adjustment: Bias Reduction in Covariance Matrices Based on Factor Analysis with an Application to Portfolio Optimization

Bartz, Daniel, Hatrick, Kerr, Hesse, Christian W., Müller, Klaus-Robert, Lemm, Steven, Preis, Tobias
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Volume:
8
Language:
english
Journal:
PLoS ONE
DOI:
10.1371/journal.pone.0067503
Date:
July, 2013
File:
PDF, 1.38 MB
english, 2013
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