Frédéric VrinsDe Saint Moulin, AntoineAntoineDe Saint Moulin2025-05-142025-05-142025-05-142022https://hdl.handle.net/2078.2/29646This work focuses on efficient portfolio computation methods and more specifically on the estimation of the covariance matrix. First, theoretical reminders about portfolio optimization are presented. A special focus is made on shrinkage-based method (i.e. Ledoit \& Wolf) and principal component analysis (PCA). Next, different strategies are compared and new shrinkage- and PCA-based portfolio optimization methods are presented. Then, the performance achieved with these methods and those from the literature are compared and discussed.Covariance MatrixPortfolio OptimizationShrinkagePCAtext::thesis::master thesisthesis:36622