Impact of error in parameter estimations on large scale portfolio optimization (Q2337598)
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scientific article; zbMATH DE number 7133344
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| English | Impact of error in parameter estimations on large scale portfolio optimization |
scientific article; zbMATH DE number 7133344 |
Statements
Impact of error in parameter estimations on large scale portfolio optimization (English)
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20 November 2019
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estimation errors
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mean variance optimization
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portfolio optimization
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covariance matrix
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shrinkage estimators
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0.7655310034751892
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0.7647355794906616
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0.7505624890327454
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0.7445111274719238
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0.7392722964286804
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