Time-varying minimum variance portfolio
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Publication:6150513
DOI10.1016/j.jeconom.2022.08.007MaRDI QIDQ6150513
No author found.
Publication date: 6 March 2024
Published in: Journal of Econometrics (Search for Journal in Brave)
shrinkage estimationminimum variance portfoliolarge portfoliodynamic covarianceflexible rebalancingsharp risk consistency
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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