High dimensional covariance matrix estimation using a factor model (Q299275)
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scientific article; zbMATH DE number 6596553
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| English | High dimensional covariance matrix estimation using a factor model |
scientific article; zbMATH DE number 6596553 |
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High dimensional covariance matrix estimation using a factor model (English)
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22 June 2016
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factor model
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diverging dimensionality
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covariance matrix estimation
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asymptotic properties
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portfolio management
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0.8670318722724915
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0.8597002029418945
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0.8588644862174988
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0.8554092049598694
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