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Covariance estimation for risk-based portfolio optimization:
Covariance estimation for risk-based portfolio optimization:
Covariance estimation for risk-based portfolio optimization: an integrated approach
This paper presents a stochastic optimization framework for integrating time-varying factor covariance models in a risk-based portfolio optimization setting.
Related Keywords
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Data ,
Generalised Autoregressive Conditional Heteroscedasticity Garch ,
Regression Analysis ,
Neural Networks ,
Covariance ,