Kourtis, Apostolos; Dotsis, George; Markellos, Raphael N. - In: Journal of Banking & Finance 36 (2012) 9, pp. 2522-2531
The estimation of the inverse covariance matrix plays a crucial role in optimal portfolio choice. We propose a new … shrinkage directly to the inverse covariance matrix using two non-parametric methods. The first minimises the out …