The power of (non-)linear shrinking : a review and guide to covariance matrix estimation
Olivier Ledoit and Michael Wolf
| Year of publication: |
2022
|
|---|---|
| Authors: | Ledoit, Olivier ; Wolf, Michael |
| Subject: | dynamic conditional correlations | factor models | large-dimensional asymptotics | Markowitz’s portfolio selection | rotation equivariance | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbaa007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012878194