Portfolio Selection Using Tikhonov Filtering to Estimate the Covariance Matrix.
Sungwoo ParkDianne P. O'LearyPublished in: SIAM J. Financial Math. (2010)
Keyphrases
- covariance matrix
- portfolio selection
- multivariate gaussian
- covariance matrices
- estimation error
- principal component analysis
- sample size
- financial markets
- correlation matrix
- objective function
- maximum likelihood estimation
- geometrical interpretation
- multiple objectives
- robust optimization
- fitness function
- vector space