Multiple Anchor Point Shrinkage for the Sample Covariance Matrix (Q5868799)
From MaRDI portal
scientific article; zbMATH DE number 7591711
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multiple Anchor Point Shrinkage for the Sample Covariance Matrix |
scientific article; zbMATH DE number 7591711 |
Statements
Multiple Anchor Point Shrinkage for the Sample Covariance Matrix (English)
0 references
23 September 2022
0 references
covariance matrix estimation
0 references
shrinkage
0 references
minimum variance portfolio
0 references
0 references
