Predicting stock returns and assessing prediction performance

DOI10.1093/IMAMAN/DPM023zbMATH Open1155.91375OpenAlexW2007454907MaRDI QIDQ5432711

Alexander Belgorodskiy, Rose D. Baker

Publication date: 18 December 2007

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpm023

zbMATH Keywords

covariance matrixutility functionregressionshrinkagesingle-index modelLondon stock exchange

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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