Comparison of several covariance matrix estimators for portfolio optimization.
Ka Ki NgPriyanka AgarwalNathan MullenDzung DuIlya PollakPublished in: ICASSP (2011)
Keyphrases
- covariance matrix
- portfolio optimization
- covariance matrices
- risk measures
- principal component analysis
- portfolio selection
- factor analysis
- stock market
- risk management
- problems involving
- robust optimization
- stock price
- objective function
- sample size
- bi objective
- feature space
- genetic algorithm
- data mining
- search space
- stock exchange