Dominance of a Class of Stein type Estimators for Optimal Portfolio Weights When the Covariance Matrix is Unknown
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Volume (Year): 17 (2010)
Issue (Month): 1 (March)
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- Ledoit, Olivier & Wolf, Michael, 2003. "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 603-621, December.
- Zhenyu Wang, 2005. "A Shrinkage Approach to Model Uncertainty and Asset Allocation," Review of Financial Studies, Society for Financial Studies, vol. 18(2), pages 673-705.
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