Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix
Year of publication: |
2012
|
---|---|
Authors: | Kourtis, Apostolos ; Dotsis, George ; Markellos, Raphael N. |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 36.2012, 9, p. 2522-2531
|
Publisher: |
Elsevier |
Subject: | Portfolio optimisation | Inverse covariance matrix | Estimation risk | Shrinkage |
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