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Efficient sorting : a more powerful test for cross-sectional anomalies
Ledoit, Olivier
;
Wolf, Michael
;
Zhao, Zhao
- In:
Journal of financial econometrics
17
(
2019
)
4
,
pp. 645-686
Persistent link: https://www.econbiz.de/10012152240
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Risk reduction and efficiency increase in large portfolios : gross-exposure constraints and shrinkage of the covariance matrix
Zhao, Zhao
;
Ledoit, Olivier
;
Jiang, Hui
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 73-105
Persistent link: https://www.econbiz.de/10013542850
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