Covariance Matrix Shrinkage
The study suggests an optimal shrinkage intensity selection for the linear shrinkage estimator family, which results in more stable covariance matrix estimators and improves global minimum-variance portfolios.
Featured in No. 84 on 5 Feb 2025 · on release day
- Released
- 5 Feb 2025
- First featured
- No. 84 · 5 Feb 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 12
- Identifier
- RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003389
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