0000000000878005

AUTHOR

Ester Pantaleo

showing 2 related works from this author

When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators

2011

The use of improved covariance matrix estimators as an alternative to the sample estimator is considered an important approach for enhancing portfolio optimization. Here we empirically compare the performance of 9 improved covariance estimation procedures by using daily returns of 90 highly capitalized US stocks for the period 1997-2007. We find that the usefulness of covariance matrix estimators strongly depends on the ratio between estimation period T and number of stocks N, on the presence or absence of short selling, and on the performance metric considered. When short selling is allowed, several estimation methods achieve a realized risk that is significantly smaller than the one obtai…

Physics - Physics and SocietyCovariance matrixPortfolio optimizationEconophysicsDiversification (finance)EstimatorFOS: Physical sciencesSample (statistics)Physics and Society (physics.soc-ph)FOS: Economics and businessEstimation of covariance matricesPortfolio Management (q-fin.PM)Risk Management (q-fin.RM)StatisticsPortfolioFraction (mathematics)Correlation structurePortfolio optimizationGeneral Economics Econometrics and FinanceFinanceStatistical methodQuantitative Finance - Portfolio ManagementMathematicsQuantitative Finance - Risk Management
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When do Improved Covariance Matrix Estimators Enhance Portfolio Optimization? An Empirical Comparative Study of Nine Estimators

2010

The use of improved covariance matrix estimators as an alternative to the sample estimator is considered an important approach for enhancing portfolio optimization. Here we empirically compare the performance of 9 improved covariance estimation procedures by using daily returns of 90 highly capitalized US stocks for the period 1997-2007. We find that the usefulness of covariance matrix estimators strongly depends on the ratio between estimation period T and number of stocks N, on the presence or absence of short selling, and on the performance metric considered. When short selling is allowed, several estimation methods achieve a realized risk that is significantly smaller than the one obtai…

Estimation of covariance matricesMatérn covariance functionCovariance functionCovariance matrixStatisticsEconometricsRational quadratic covariance functionCovariance intersectionCovariancePortfolio optimizationMathematicsSSRN Electronic Journal
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