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Markowitz (1952) portfolio selection requires estimates of (i) the vector of expected returns and (ii) the covariance matrix of returns. Many proposals to address the first question exist already. This paper addresses the second question. We promote a new nonlinear shrinkage estimator of the...
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eigenvalues; a favored model is nonlinear shrinkage, derived from Random Matrix Theory (RMT). The present paper aims to marry …
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