Estimating correlation and covariance matrices by weighting of market similarity

DOI10.1080/14697688.2011.605075zbMath1308.91145arXiv1006.5847OpenAlexW2103609600MaRDI QIDQ5245358

Michael C. Münnix, Rudi Schäfer, Oliver Grothe

Publication date: 8 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1006.5847

zbMATH Keywords

portfolio optimizationtime series analysismarket dynamicscorrelation structures

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Economic time series analysis (91B84) Portfolio theory (91G10)

Related Items (2)

Correlation as probability: applications of Sheppard’s formula to financial assets ⋮ Artificial intelligence in portfolio formation and forecast: Using different variance-covariance matrices

Uses Software

• QRM

Cites Work

• Unnamed Item
• Products of trees for investment analysis
• Generalized autoregressive conditional heteroscedasticity
• Using High-Frequency Data in Dynamic Portfolio Choice
• Power mapping with dynamical adjustment for improved portfolio optimization

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