publication . Master thesis . 2007

Asset allocation with different covariance/correlation estimators

Μανταφούνη, Σοφία;
Open Access Greek
  • Published: 20 Nov 2007
  • Country: Greece
The subject of the study is to test whether the use of different covariance – correlation estimators than the historical covariance matrix that is widely used, would help in portfolio optimization through the mean-variance analysis. In other words, if an investor would like to use the mean-variance analysis in order to invest in assets like stocks or indices, would it be of some help to use more sophisticated estimators for the covariance matrix of the returns of his portfolio? The procedure that it follows to answer this question is the following. First, it defines seven different universes of data. Second, for each universe, it uses fifteen years of data to es...
free text keywords: Asset allocation, Portfolio management
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Dione (Διώνη)
Master thesis . 2007
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