Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks (Q5978357)

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Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks
scientific article

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    publication date
    2014
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    author
    Olivier Ledoit
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    Michael Wolf
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    Identifiers

    DOI
    10.2139/ssrn.2383361
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