Copula shrinkage and portfolio allocation in ultra-high dimensions (Q2098001)
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scientific article; zbMATH DE number 7619224
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Copula shrinkage and portfolio allocation in ultra-high dimensions |
scientific article; zbMATH DE number 7619224 |
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Copula shrinkage and portfolio allocation in ultra-high dimensions (English)
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17 November 2022
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Gaussian copula
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\(t\) copula
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high dimensionality
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large covariance matrices
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shrinkage
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portfolio allocation
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