The Dispersion Bias (Q5080131)

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scientific article; zbMATH DE number 7533968
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The Dispersion Bias
scientific article; zbMATH DE number 7533968

    Statements

    title
    The Dispersion Bias (English)
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    DOI
    10.1137/21M144058X
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    publication date
    31 May 2022
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    zbMATH DE Number
    7533968
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    zbMATH Keywords
    dispersion bias
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    optimization bias
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    eigenvector
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    minimum variance portfolio
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    covariance matrix
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    shrinkage
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