Covariance Matrix Estimation with Empirical Bayes Method
A method for improving covariance matrix estimation in portfolio analysis was presented, showing superior performance over existing methods.
Featured in No. 36 on 7 Feb 2024 ·
- Released
- 11 Sep 2023
- First featured
- No. 36 · 7 Feb 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 16
- Identifier
- RePEc:sae:sagope:v:13:y:2023:i:2:p:21582440231174777
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