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Bodnar, Taras; Okhrin, Yarema; Parolya, Nestor

Optimal shrinkage-based portfolio selection in high dimensions. (English) Zbl 1542.62129

J. Bus. Econ. Stat. 41, No. 1, 140-156 (2023).

Cited in 4 Documents

MSC:

62P20 Applications of statistics to economics

Keywords:

covariance matrix estimation; expected utility portfolio; large-dimensional asymptotics; random matrix theory

Software:

HDShOP
Cite Review PDF
Full Text: DOI arXiv
OA License

References:

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