Flexible shrinkage in portfolio selection
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Vasyl Golosnoy & Nestor Parolya, 2017.
"‘To have what they are having’: portfolio choice for mimicking mean–variance savers,"
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- Bajeux-Besnainou, Isabelle & Bandara, Wachindra & Bura, Efstathia, 2012. "A Krylov subspace approach to large portfolio optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 36(11), pages 1688-1699.
More about this item
KeywordsEstimation risk and model uncertainty k-means clustering Model structure amount Multivariate shrinkage estimator;
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