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McArthur, Gregory D
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Comparative Analysis of Ledoit's Covariance Matrix and Comparative Adjustment Liability Model (CALM) Within the Markowitz Framework
Keyword:
covariance matrix estimation
,
shrink-
, and
Ledoit's model
Creator:
McArthur, Gregory D
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2014-05-09
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
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Masters Reports
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Year
2014
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Creator
McArthur, Gregory D
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Advisor
Blais, Marcel Y.
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Blais, Marcel Y.
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Unit (Department)
Mathematical Sciences
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Publisher
Worcester Polytechnic Institute
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Report
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