A new procedure for resampled portfolio with shrinkaged covariance matrix (Q5037046)
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scientific article; zbMATH DE number 7481464
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new procedure for resampled portfolio with shrinkaged covariance matrix |
scientific article; zbMATH DE number 7481464 |
Statements
A new procedure for resampled portfolio with shrinkaged covariance matrix (English)
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25 February 2022
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estimation error
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resampled efficiency
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shrinkage estimation
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portfolio optimization
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active management
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