Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks
Year of publication: |
2014-01
|
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Authors: | Ledoit, Olivier ; Wolf, Michael |
Institutions: | Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät |
Subject: | Large-dimensional asymptotics | Markowitz portfolio selection | nonlinear shrinkage |
Extent: | application/pdf |
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Series: | ECON - Working Papers. - ISSN 1664-7041. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Econ working papers Number 137 |
Classification: | C13 - Estimation ; G11 - Portfolio Choice |
Source: |
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