Optimal portfolio selection using a simple double-shrinkage selection rule
Year of publication: |
2021
|
---|---|
Authors: | Joo, Young C. ; Park, Sung Y. |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 43.2021, p. 1-9
|
Subject: | LASSO | Portfolio selection | Shrinkage estimation | Sparse covariance matrix | Portfolio-Management | Schätztheorie | Estimation theory | Korrelation | Correlation |
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