Estimated correlation matrices and portfolio optimization
✍ Scribed by Szilárd Pafka; Imre Kondor
- Publisher
- Elsevier Science
- Year
- 2004
- Tongue
- English
- Weight
- 222 KB
- Volume
- 343
- Category
- Article
- ISSN
- 0378-4371
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
In this paper we develop a method for obtaining estimators of the correlation matrices from k groups when these correlation matrices have the same set of eigenvectors. These estimators are obtained by utilizing the spectral decomposition of a symmetric matrix; that is, we obtain an estimate, say P,
Portfolio optimization is a procedure for generating a portfolio composition which yields the highest return for a given level of risk or a minimum risk for given level of return. The problem can be formulated as a quadratic programming problem. We shall present a new and efticient optimization proc