Predicting stock returns and assessing prediction performance
From MaRDI portal
Publication:5432711
DOI10.1093/imaman/dpm023zbMath1155.91375MaRDI QIDQ5432711
Rose D. Baker, Alexander Belgorodskiy
Publication date: 18 December 2007
Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/imaman/dpm023
covariance matrix; utility function; regression; shrinkage; single-index model; London stock exchange
91B82: Statistical methods; economic indices and measures