Practice Portfolios
Estimate a covariance matrix that holds up
Medium+25 pointsAbout 50 minutesPortfolios
Coming soon
Compare sample and shrinkage covariance estimates by the out-of-sample risk of minimum-variance portfolios.
This problem opens with Portfolio Optimization. It draws on the modules below.
- Portfolio 1.2 Estimating means and covariances (coming soon)
- Portfolio 1.4 Markowitz (coming soon)