Portfolio analysis with a large universe of assets.

Covariance matrix optimization algorithms are applied to a large number of assets. A previous paper by Burgess and Bey (1988) suggests that attempting to optimize a large number of securities with the traditional covariance matrix model is not practical. An alternative approach ranks the securities...

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Bibliographic Details
Main Author: Nawrocki, David.
Format: Villanova Faculty Authorship
Language:English
Published: 1996
Online Access:http://ezproxy.villanova.edu/login?url=https://digital.library.villanova.edu/Item/vudl:178249