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Tagged with covariance-estimation portfolio-management
3
questions
3
votes
1
answer
126
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Sample Variance of Portfolio
Let $w$ denote a vector of portfolio weights, $r_i$ denote the $i$th return vector, $\Sigma$ denote the Covariance matrix of $r_i$ and let $\hat{\Sigma}$ denote the sample covariance matrix of $r_i$.
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1
vote
1
answer
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Shrinkage of the Sample Covariance matrix, theory
is there any theory behind the covariance matrix shrinkage paper, why it works?
I am talking about this stats exchange thread
- 153
2
votes
0
answers
304
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OHLC Covarianc Estimation
Is there an R package which can estimate a covariance matrix using OHLC (Open/High/Low/Close) share prices for upwards of 40 shares using the Yang & Zhang method using daily data? I google ...
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