4 Questions 8 Answers 0 Followers
Questions related from Anirban Roychoudhury
Does out of sample performance of minimum variance portfolios improve when the estimates of the optimizer is a high dimension covariance matrix with high-frequency data and realized volatility...
10 August 2014 522 4 View
Application of Fourier Transform in Financial Mathematics
01 July 2014 9,046 0 View
As both the mu vector and the S matrix suffer from estimation errors Robust portfolio optimization and robust portfolio estimators is a subject of interest. How can the Mahalanobis Distance be...
17 June 2014 5,189 3 View
Using the historical var-cov matrix as an input in the optimizer leads to estimation errors. What other methods can be used in estimating the var-covar apart from shrinkage and diagonal methods?
03 June 2014 1,657 18 View