Multiple Anchor Point Shrinkage for the Sample Covariance Matrix (Q5868799)
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scientific article; zbMATH DE number 7591711
Language | Label | Description | Also known as |
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English | Multiple Anchor Point Shrinkage for the Sample Covariance Matrix |
scientific article; zbMATH DE number 7591711 |
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Multiple Anchor Point Shrinkage for the Sample Covariance Matrix (English)
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23 September 2022
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covariance matrix estimation
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shrinkage
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minimum variance portfolio
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