Linear shrinkage estimation of large covariance matrices using factor models (Q321913)
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scientific article; zbMATH DE number 6639126
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| English | Linear shrinkage estimation of large covariance matrices using factor models |
scientific article; zbMATH DE number 6639126 |
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Linear shrinkage estimation of large covariance matrices using factor models (English)
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14 October 2016
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covariance matrix
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factor model
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high dimension
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large sample
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non-normal distribution
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normal distribution
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portfolio management
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ridge-type estimator
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risk functionisisis
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0.863019585609436
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0.8597002029418945
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0.8471252918243408
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0.8438107967376709
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