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dc.contributor.author | Ledoit, Olivier |
dc.contributor.author | Wolf, Michael |
dc.contributor.other | Universitat Pompeu Fabra. Departament d'Economia i Empresa |
dc.date.accessioned | 2017-07-26T10:50:29Z |
dc.date.available | 2017-07-26T10:50:29Z |
dc.date.issued | 2001-11-01 |
dc.identifier | https://econ-papers.upf.edu/ca/paper.php?id=586 |
dc.identifier.citation | Journal of Empirical Finance 10, 603-621, 2003 |
dc.identifier.uri | http://hdl.handle.net/10230/656 |
dc.description.abstract | This paper proposes to estimate the covariance matrix of stock returns by an optimally weighted average of two existing estimators: the sample covariance matrix and single-index covariance matrix. This method is generally known as shrinkage, and it is standard in decision theory and in empirical Bayesian statistics. Our shrinkage estimator can be seen as a way to account for extra-market covariance without having to specify an arbitrary multi-factor structure. For NYSE and AMEX stock returns from 1972 to 1995, it can be used to select portfolios with significantly lower out-of-sample variance than a set of existing estimators, including multi-factor models. |
dc.format.mimetype | application/pdf |
dc.language.iso | eng |
dc.relation.ispartofseries | Economics and Business Working Papers Series; 586 |
dc.rights | L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.title | Improved estimation of the covariance matrix of stock returns with an application to portofolio selection |
dc.type | info:eu-repo/semantics/workingPaper |
dc.date.modified | 2017-07-23T02:06:33Z |
dc.subject.keyword | covariance matrix estimation |
dc.subject.keyword | factor models |
dc.subject.keyword | portofolio selection |
dc.subject.keyword | shrinkage |
dc.subject.keyword | Finance and Accounting |
dc.rights.accessRights | info:eu-repo/semantics/openAccess |