Covariance Matrix Estimation for Interest-Rate Risk Modeling via Smooth and Monotone Regularization.
IEEE Journal of Selected Topics in Signal Processing(2016)
摘要
Estimating covariance matrices in high-dimensional settings is a challenging problem central to modern finance. The sample covariance matrix is well-known to give poor estimates in high dimensions with insufficient samples, and may cause severe risk underestimates of optimized portfolios in the Markowitz framework. In order to provide useful estimates in this regime, a variety of improved covarian...
更多查看译文
关键词
Covariance matrices,Estimation,Contracts,Portfolios,Eigenvalues and eigenfunctions,Correlation,Economic indicators
AI 理解论文
溯源树
样例
生成溯源树,研究论文发展脉络