Optimal shrinkage-based portfolio selection in high dimensions Taras Bodnara , Yarema Okhrinb and Nestor Parolyac,∗ c

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Date: 2016-07-08 02:22:28 Statistics Estimation theory Statistical inference Statistical theory Covariance and correlation Summary statistics Shrinkage estimator Estimator Variance Consistent estimator Covariance Standard deviation		Optimal shrinkage-based portfolio selection in high dimensions Taras Bodnara , Yarema Okhrinb and Nestor Parolyac,∗ c Add to Reading List Source URL: www.cb.cityu.edu.hk Download Document from Source Website File Size: 757,69 KB Share Document on Facebook

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