Sökning: "Manu Upadhyaya"
Hittade 1 uppsats innehållade orden Manu Upadhyaya.
1. Covariance Matrix Regularization for Portfolio Selection: Achieving Desired Risk
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : 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
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