Sampling error and double shrinkage estimation of minimum variance portfolios
Year of publication: |
2012
|
---|---|
Authors: | Candelon, B. ; Hurlin, C. ; Tokpavi, S. |
Published in: |
Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 19.2012, 4, p. 511-527
|
Publisher: |
Elsevier |
Subject: | Global Minimum Variance Portfolio | Sampling error | Double shrinkage | Equality restricted ridge regression |
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