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Comparative Analysis of Ledoit's Covariance Matrix and Comparative Adjustment Liability Management (CALM) Model Within the Markowitz Framework

关键词:

covariance matrix estimation, CALM, shrinkage parameter, Ledoit's model, and forward looking signal

创造者:

Zhang, Yafei

Advisor:

Blais, Marcel Y.

出版者:

Worcester Polytechnic Institute

创建日期:

2014-05-08

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences