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Search: subject:"shrinkage covariance matrix"
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shrinkage covariance matrix
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International journal of theoretical and applied finance
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An analysis of a mean-variance enhanced index tracking problem with weights constraints
Paulo, Wanderlei Lima de
;
Fontova, Marta Ines Velazco
; …
- In:
Investment management and financial innovations
15
(
2018
)
4
,
pp. 183-192
Persistent link: https://www.econbiz.de/10012055864
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2
Shrinkage estimation of mean-variance portfolio
Liu, Yan
;
Chan, Ngai Hang
;
Ng, Chi Tim
;
Wong, Samuel Po …
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011453866
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