Estimation of the Global Minimum Variance Portfolio in High Dimensions

2 June 2014

Papers citing "Estimation of the Global Minimum Variance Portfolio in High Dimensions"

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Title
Two is better than one: Regularized shrinkage of large minimum variance portfolio Taras Bodnar Nestor Parolya Erik Thorsén 40 3 0 14 Feb 2022
Optimal shrinkage-based portfolio selection in high dimensions Taras Bodnar Yarema Okhrin Nestor Parolya 19 43 0 07 Nov 2016