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- W3124976413 abstract "The subject here is construction of the covariance matrix for portfolio optimization. In terms of the ex post standard deviation of the global minimum-variance portfolio, there is no statistically significant gain in using more sophisticated shrinkage estimators rather than simpler portfolios of estimators. This finding holds whether or not the investor imposes short sale constraints to prevent portfolio weights from being negative." @default.
- W3124976413 created "2021-02-01" @default.
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- W3124976413 date "2007-07-01" @default.
- W3124976413 modified "2023-09-23" @default.
- W3124976413 title "Shrinking the Covariance Matrix" @default.
- W3124976413 hasPublicationYear "2007" @default.
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