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Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS - MaRDI portal

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Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS (Q6657696)

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scientific article; zbMATH DE number 7962487
Language Label Description Also known as
English
Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS
scientific article; zbMATH DE number 7962487

    Statements

    title
    Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS (English)
    0 references
    author
    Christian Bongiorno
    0 references
    Damien Challet
    0 references
    publication date
    6 January 2025
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    Identifiers

    zbMATH DE Number
    7962487
    0 references
     
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