Daron Golden

Independent

No Address Available

United States

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Scholarly Papers (1)

1.

Improving Portfolio Allocation Through Covariance Matrix Filtering

Number of pages: 35 Posted: 13 Jan 2017
Daron Golden and Emlyn James Flint
Independent and Legae Peresec
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Abstract:

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covariance estimation, Bayesian shrinkage, random matrix theory, regularisation, eigenstructure, covariance filtering, South African equity