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~isPartOf:"Research paper / International Center for Financial Asset Management and Engineering"
~isPartOf:"Working paper series / University of Zurich, Department of Economics"
~subject:"Portfolio selection"
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Portfolio selection
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Nonlinear shrinkage of the covariance matrix for portfolio selection : Markowitz meets Goldilocks
Ledoit, Olivier
;
Wolf, Michael
-
2014
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...
Persistent link: https://www.econbiz.de/10010243453
Saved in:
2
Large dynamic covariance matrices
Engle, Robert F.
;
Ledoit, Olivier
;
Wolf, Michael
-
2016
eigenvalues; a favored model is nonlinear shrinkage, derived from Random Matrix
Theory
(RMT). The present paper aims to marry …
Persistent link: https://www.econbiz.de/10011518597
Saved in:
3
Liquidation risk
Ziegler, Alexandre
;
Duffie, Darrell
-
2001
Persistent link: https://www.econbiz.de/10001592003
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4
A heuristic approach to portfolio optimization
Gilli, Manfred
;
Ke͏̈llezi, Evis
-
2000
Persistent link: https://www.econbiz.de/10001599885
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5
Immunization of bond portfolios : some new results
LaGrandville, Olivier de
-
2002
Persistent link: https://www.econbiz.de/10001655822
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6
Assessing asset pricing anomalies
Brennan, Michael J.
;
Xia, Yihong
-
1999
Persistent link: https://www.econbiz.de/10001641297
Saved in:
7
On the informational content of changing risk for dynamic asset allocation
Barone-Adesi, Giovanni
;
Gagliardini, Patrick
;
Trojani, Fabio
-
2000
Persistent link: https://www.econbiz.de/10001641348
Saved in:
8
Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets
Chacko, George
;
Viceira, Luis M.
-
1999
Persistent link: https://www.econbiz.de/10001641813
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9
Who should buy long-term bonds?
Campbell, John Y.
;
Viceira, Luis M.
-
1998
Persistent link: https://www.econbiz.de/10001641837
Saved in:
10
Enhancing portfolio performance using options strategies : why beating the market is easy
Lhabitant, François-Serge
-
1998
Persistent link: https://www.econbiz.de/10001641852
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