Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks
Year of publication: |
2014
|
---|---|
Authors: | Ledoit, Olivier ; Wolf, Michael |
Publisher: |
Zurich : University of Zurich, Department of Economics |
Subject: | Large-dimensional asymptotics | Markowitz portfolio selection | nonlinear shrinkage |
Series: | Working Paper ; 137 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.5167/uzh-90273 [DOI] 778654206 [GVK] hdl:10419/111195 [Handle] RePEc:zur:econwp:137 [RePEc] |
Classification: | C13 - Estimation ; G11 - Portfolio Choice |
Source: |
-
Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks
Ledoit, Olivier, (2017)
-
Nonlinear shrinkage of the covariance matrix for portfolio selection : Markowitz meets Goldilocks
Ledoit, Olivier, (2014)
-
Nonlinear shrinkage of the covariance matrix for portfolio selection : Markowitz meets Goldilocks
Ledoit, Olivier, (2017)
- More ...
-
Reexamining possible mispricing of customer satisfaction
Bell, David R., (2012)
-
Optimal estimation of a large-dimensional covariance matrix under Stein's loss
Ledoit, Olivier, (2013)
-
Bell, David R., (2013)
- More ...