Shrinkage and thresholding approaches for expected utility portfolios : an analysis in terms of predictive ability
Sumanjay Dutta, Shashi Jain
| Year of publication: |
2024
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|---|---|
| Authors: | Dutta, Sumanjay ; Jain, Shashi |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 64.2024, Art.-No. 105426, p. 1-8
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| Subject: | Covariance matrix estimation | Mean-variance optimal portfolios | Predictive ability | Shrinkage estimators | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | Erwartungsnutzen | Expected utility | Korrelation | Correlation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.105426 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014531731