Optimal portfolio selection using a simple double-shrinkage selection rule
Young C. Joo, Sung Y. Park
| Year of publication: |
2021
|
|---|---|
| Authors: | Joo, Young C. ; Park, Sung Y. |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 43.2021, p. 1-9
|
| Subject: | LASSO | Portfolio selection | Shrinkage estimation | Sparse covariance matrix | Portfolio-Management | Schätztheorie | Estimation theory | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2021.102019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014633536