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

Author: Pantaleo Ester   Tumminello Michele   Lillo Fabrizio   Mantegna Rosario N.  

Publisher: Routledge Ltd

ISSN: 1469-7688

Source: Quantitative Finance, Vol.11, Iss.7, 2011-07, pp. : 1067-1080

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract