An empirical Bayesian approach to stein-optimal covariance matrix estimation
Year of publication: |
2014
|
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Authors: | Gillen, Benjamin J. |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 29.2014, p. 402-420
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Subject: | Bayesian estimation | Covariance matrix shrinkage | Asset allocation | Bayes-Statistik | Bayesian inference | Korrelation | Correlation | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection |
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