Highlights of the Revised Economic Capital Framework of the Reserve Bank of India approved by the Central Board In its 578 th ...

Abstract: We study the design of portfolios under a minimum risk criterion. The performance of the optimized portfolio relies on the accuracy of the estimated covariance matrix of the portfolio asset ...

By combining the covariance matrix taper (CMT) approach with either PC or diagonal loading, the minimal sample support properties of these techniques can be preserved.