The performance of shrinkage estimator for stock portfolio selection in case of high dimensionality
Year of publication: |
2022
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Authors: | Nhat Minh Nguyen ; Nguyen Trung Duc ; Thalassinos, Eleftherios ; Hoang Anh Le |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 15.2022, 6, Art.-No. 249, p. 1-12
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Subject: | high-dimensionality | modern portfolio theory | portfolio management | shrinkage estimator of covariance matrix | shrinkage intensity | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm15060249 [DOI] hdl:10419/274771 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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