مرکز منطقه ای اطلاع رساني علوم و فناوري - Improved estimation of the covariance matrix of stock returns with an application to portfolio selection

Title of article :

Improved estimation of the covariance matrix of stock returns with an application to portfolio selection

Author/Authors :

Olivier Ledoit، نويسنده , , Michael Wolf، نويسنده ,

Issue Information :

دوماهنامه با شماره پیاپی سال 2003

Pages :

From page :

603

To page :

621

Keywords :

Covariance matrix estimation , Factor models , Portfolio selection , Shrinkage method

Journal title :

Journal of Empirical Finance

Serial Year :

2003

Journal title :

Journal of Empirical Finance

Record number :

130752

Link To Document :