Sökning: "Manu Upadhyaya"

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  1. 1. Covariance Matrix Regularization for Portfolio Selection: Achieving Desired Risk

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Manu Upadhyaya; [2020]
    Nyckelord :covariance matrix; portfolio selection; risk; Mathematics and Statistics;

    Sammanfattning : The modus operandi of most asset managers is to promise clients an annual risk target, where risk is measured by realized standard deviation of portfolio returns. Moreover, Markowitz (1952) portfolio selection requires an estimate of the covariance matrix of the returns of the financial instruments under consideration. LÄS MER