Adjusting covariance matrix for risk management

Yu, PLH; Ng, FC; Ting, JKW

Ting, JKW (corresponding author), Univ Hong Kong, Dept Stat & Actuarial Sci, Pokfulam Rd, Hong Kong, Peoples R China.

QUANTITATIVE FINANCE, 2020; 20 (10): 1681

Abstract

The covariance matrix of asset returns can change drastically and generate huge losses in portfolio value under extreme conditions such as market inte......

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