Shrinkage estimation of mean-variance portfolio
Yan Liu (Department of Finance, Ocean University of China, P. R. China), Ngai Hang Chan (Department of Statistics, The Chinese University of Hong Kong, Hong Kong, P. R. China), Chi Tim Ng (Department of Statistics, Chonnam National University, Republic of Korea), Samuel Po Shing Wong (Department of Statistics, The Chinese University of Hong Kong, Hong Kong, China)
| Year of publication: |
February 2016
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|---|---|
| Authors: | Liu, Yan ; Chan, Ngai Hang ; Ng, Chi Tim ; Wong, Samuel Po Shing |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 1, p. 1-25
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| Subject: | Investment analysis | matrix inequalities | mean-variance portfolio | shrinkage covariance matrix | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Korrelation | Correlation | Varianzanalyse | Analysis of variance |