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Search: subject:"Global Minimum Variance Portfolio"
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shrinkage estimator
Portfolio-Management
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Global minimum variance portfolio
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Analysis of variance
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global minimum variance portfolio
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Global Minimum Variance Portfolio
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Double shrinkage
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Frahm, Gabriel
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Memmel, Christoph
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Yilmaz, Hilal
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Maximum likelihood estimation of covariance matrices with constraints on the efficient frontier
Yilmaz, Hilal
;
Pearson, Neil D.
- In:
International journal of computational economics and …
6
(
2016
)
1
,
pp. 71-92
Persistent link: https://www.econbiz.de/10011588856
Saved in:
2
Dominating estimators for the
global
minimum
variance
portfolio
Frahm, Gabriel
;
Memmel, Christoph
-
2009
Two shrinkage estimators for the
global
minimum
variance
portfolio
that dominate the traditional estimator with respect …
Persistent link: https://www.econbiz.de/10010298777
Saved in:
3
Dominating estimators for the
global
minimum
variance
portfolio
Frahm, Gabriel
;
Memmel, Christoph
-
Deutsche Bundesbank
-
2009
Two shrinkage estimators for the
global
minimum
variance
portfolio
that dominate the traditional estimator with respect …
Persistent link: https://www.econbiz.de/10005082766
Saved in:
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