Estimating the covariance matrix for portfolio optimization

David J Disatnik, Simon Benninga

Research output: Working paper / PreprintWorking paper

Original languageEnglish
Place of PublicationTel-Aviv
PublisherTel Aviv University, Faculty of Management, The Leon Recanati Graduate School of Business Administration
Number of pages52
StatePublished - Jan 2006

Publication series

NameWorking paper
PublisherTel Aviv University, Faculty of Management, The Leon Recanati Graduate School of Business Administration
Volumeno. 5/2006

ULI Keywords

  • uli
  • Analysis of covariance
  • Portfolio management -- Econometric models

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