Improving Minimum-Variance Portfolios by Alleviating Overdispersion of Eigenvalues
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DOI: 10.1017/s0022109019000899
Abstract: In portfolio risk minimization, the inverse covariance matrix of returns is often unknown and has to be estimated in practice. Yet the eigenvalues of the sample covariance matrix are often overdispersed, leading to severe estimation… read more here.
Keywords: improving minimum; variance portfolios; portfolios alleviating; covariance matrix ... See more keywords