Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
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DOI: 10.1016/j.frl.2023.103807
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- Taras Bodnar & Nestor Parolya & Erik Thors'en, 2021. "Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?," Papers 2111.12532, arXiv.org.
References listed on IDEAS
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Keywords
Shrinkage estimator; High-dimensional covariance matrix; Random matrix theory; Minimum variance portfolio; Parameter uncertainty;All these keywords.
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