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Dokumenttyp:
Masterarbeit 
Autor(en):
Welsing, Simon 
Titel:
Nonlinear Shrinkage estimation of Covariance Matrices for Portfolio Selection 
Abstract:
In this thesis, we consider a nonlinear shrinkage estimation of a covariance matrix, which was introduced by Ledoit and Wolf (2014). It is a new estimation method of a covariance matrix, which works also when the number of observations is smaller than the dimension of the observed vector. In contrast to many papers that address the problem of estimating the expected future returns of the assets in a portfolio, this thesis strongly focuses on covariance matrix estimation, as it is essential for s...    »
 
Aufgabensteller:
PD Dr. Aleksey Min 
Betreuer:
PD Dr. Aleksey Min 
Jahr:
2015 
Hochschule / Universität:
Technische Universität München 
Bearbeitungsbeginn:
15.05.2015 
Bearbeitungsende:
08.12.2015