Harry Markowitz famously quipped that diversification is the only free lunch in investing. What he did not say is that this is only true if correlations are known and stable over time. Markowitz’s ...

Equity derivatives businesses have seen their revenues riven by losses during the first half of 2008. The malaise in credit, brought on by excessive US subprime mortgage losses, took hold of major ...

Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. Thomas J Catalano is a CFP and Registered ...

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 ...