Improving minimum-variance portfolio through shrinkage of large covariance matrices
Fangquan Shi, Lianjie Shu, Fangyi He, Wenpo Huang
| Year of publication: |
2025
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|---|---|
| Authors: | Shi, Fangquan ; Shu, Lianjie ; He, Fangyi ; Huang, Wenpo |
| Published in: |
Economic modelling. - Amsterdam : Elsevier [u.a.], ISSN 0264-9993, ZDB-ID 2013002-8. - Vol. 144.2025, Art.-No. 106981, p. 1-16
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| Subject: | Covariance matrix | High dimension | Linear shrinkage | Portfolio optimization | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory | Lineare Algebra | Linear algebra |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2024.106981 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015193796