An empirical Bayesian approach to stein-optimal covariance matrix estimation
Benjamin J. Gillen
| Year of publication: |
2014
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|---|---|
| Authors: | Gillen, Benjamin J. |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 29.2014, p. 402-420
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| Subject: | Bayesian estimation | Covariance matrix shrinkage | Asset allocation | Bayes-Statistik | Bayesian inference | Korrelation | Correlation | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011300451