Sampling error and double shrinkage estimation of minimum variance portfolio
Year of publication: |
2012
|
---|---|
Authors: | Candelon, Bertrand ; Hurlin, Christophe ; Tokpavi, S. |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 19.2012, 4, p. 511-527
|
Subject: | Global Minimum Variance Portfolio | Sampling error | Double shrinkage | Equality restricted ridge regression | Stichprobenerhebung | Sampling | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Statistischer Fehler | Statistical error | Schätztheorie | Estimation theory |
-
Advances in estimating covariance matrices
Menchero, Jose, (2021)
-
Sampling error and double shrinkage estimation of minimum variance portfolios
Candelon, Bertrand, (2011)
-
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan, (2024)
- More ...
-
Network effects and infrastructure productivity in developing countries
Candelon, Bertrand, (2009)
-
Backtesting value-at-risk : a GMM duration-based test
Candelon, Bertrand, (2009)
-
Sampling error and double shrinkage estimation of minimum variance portfolios
Candelon, Bertrand, (2011)
- More ...