Tuesday, November 29th @ 11:00-12:30 PM (ONLINE) Zoom Meeting ID: 995 9778 2168
Most covariance matrix estimation studies are focused on portfolio optimization applications, ultimately mitigating the "error maximization" property of optimizers. However, correcting one kind of error might lead to introducing errors in other applications, such as portfolio risk measurement. This talk is focused on covariance estimation issues which arise in the application of risk prediction for different portfolios. Results for a range of dimensionality regimes and various portfolios will be discussed, together with some insights for practitioners and directions for future work.