A new procedure for resampled portfolio with shrinkaged covariance matrix (Q5037046)
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scientific article; zbMATH DE number 7481464
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A new procedure for resampled portfolio with shrinkaged covariance matrix |
scientific article; zbMATH DE number 7481464 |
Statements
A new procedure for resampled portfolio with shrinkaged covariance matrix (English)
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25 February 2022
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estimation error
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resampled efficiency
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shrinkage estimation
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portfolio optimization
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active management
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0.86924696
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0.86503786
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0.8503348
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0.8467824
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0.84640956
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0.84247863
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0.83955103
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0.8382399
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0.8347459
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