Cross validation based transfer learning for cross-sectional non-linear shrinkage : a data-driven approach in portfolio optimization
Torsten Mörstedt, Bernhard Lutz, Dirk Neumann
| Year of publication: |
2024
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|---|---|
| Authors: | Mörstedt, Torsten ; Lutz, Bernhard ; Neumann, Dirk |
| Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 318.2024, 2 (16.10.), p. 670-685
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| Subject: | Covariance estimation | Data-driven approach | Finance | Non-linear shrinkage | Portfolio optimization | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Korrelation | Correlation | Schätzung | Estimation |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2024.05.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015048040