Timeline for Portfolio Optimisation/Covariance Estimation on a large scale
Current License: CC BY-SA 3.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jul 21, 2018 at 10:00 | vote | accept | Phil-ZXX | ||
| Jun 7, 2017 at 2:51 | answer | added | Alex C | timeline score: 3 | |
| Jun 7, 2017 at 1:30 | comment | added | SRKX | @AlexC again, please... Let's put this in an answer. | |
| Jun 4, 2017 at 20:26 | comment | added | Alex C | A good paper for the Factor (or what you call PCA) approach is Journal of Financial Economics 62 (2001) 293–325, Extracting factors from heteroskedastic asset returns, by Christopher S. Jones | |
| Jun 4, 2017 at 19:56 | history | asked | Phil-ZXX | CC BY-SA 3.0 |