Beta is the 2nd letter in the Greek alphabet, and the financial world uses it to refer to the sensitivity of an asset’s price compared to a specific index or benchmark. Beta is also used as a measure ...

Steven Nickolas is a writer and has 10+ years of experience working as a consultant to retail and institutional investors. Portfolio variance is a measure of the dispersion of returns of a portfolio.

The expectation maximization (EM) algorithm is a popular, and often remarkably simple, method for maximum likelihood estimation in incomplete-data problems. One criticism of EM in practice is that ...

This is a preview. Log in through your library . Abstract ANOVA of unweighted means can be used to estimate variance components easily. In the multivariate normal case, the variance-covariance matrix ...

The COV= option must be specified to compute an approximate covariance matrix for the parameter estimates under asymptotic theory for least-squares, maximum-likelihood, or Bayesian estimation, with or ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...