Dominance of a Class of Stein type Estimators for Optimal Portfolio Weights When the Covariance Matrix is Unknown
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 17 (2010)
Issue (Month): 1 (March)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Mean-variance optimal portfolio; Estimation risk; Parameter uncertainty; Asset allocation; Shrinkage estimator;
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