Econometric identification of the attainable maximal sharpe ratio by optimal shrinkage of the cross-section of asset returns (Q6194459)
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scientific article; zbMATH DE number 7820622
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Econometric identification of the attainable maximal sharpe ratio by optimal shrinkage of the cross-section of asset returns |
scientific article; zbMATH DE number 7820622 |
Statements
Econometric identification of the attainable maximal sharpe ratio by optimal shrinkage of the cross-section of asset returns (English)
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19 March 2024
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regularization
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maximal sharpe ratio
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pricing kernel volatility
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polynomial pricing kernels
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