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Directional Variance Adjustment: Bias Reduction in Covariance Matrices Based on Factor Analysis with an Application to Portfolio Optimization
Robust and reliable covariance estimates play a decisive role in financial and many other applications. An important class of estimators is based on factor models. Here, we show by extensive Monte Carlo simulations that covariance matrices derived from the statistical Factor Analysis model exhibit a...
| Autores principales: | , , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2013
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3701014/ https://www.ncbi.nlm.nih.gov/pubmed/23844016 http://dx.doi.org/10.1371/journal.pone.0067503 |