Cross-validated covariance estimators for high-dimensional minimum-variance portfolios
Year of publication: |
2021
|
---|---|
Authors: | Husmann, Sven ; Shivarova, Antoniya ; Steinert, Rick |
Subject: | Covariance estimation | Portfolio optimization | High dimensionality | Cross-validation | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance | Kapitaleinkommen | Capital income |
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