I still remember the stock market crash in 2009. This method is used to construct minimal risk stock portfolios. Here are the variances of monthly returns with different investment goals.
Sunday, November 20, 2011
New tools for investment portfolios?
I posted a paper (arXiv: 1111.1133) quite a long time ago on "High Dimensional Low Rank and Sparse Covariance Matrix Estimation via Convex Minimization". The software for this methodology, LOREC, is here on CRAN.
I still remember the stock market crash in 2009. This method is used to construct minimal risk stock portfolios. Here are the variances of monthly returns with different investment goals.
This new method, LOREC, performs favorably comparing with existing methods. Wish I had found this earlier in 2009.
I still remember the stock market crash in 2009. This method is used to construct minimal risk stock portfolios. Here are the variances of monthly returns with different investment goals.
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