Reducing Estimation Risk in Mean-Variance Portfolios with Machine Learning
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References listed on IDEAS
- Frost, Peter A. & Savarino, James E., 1986. "An Empirical Bayes Approach to Efficient Portfolio Selection," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(3), pages 293-305, September.
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More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-BIG-2018-04-16 (Big Data)
- NEP-CMP-2018-04-16 (Computational Economics)
- NEP-ECM-2018-04-16 (Econometrics)
- NEP-RMG-2018-04-16 (Risk Management)
- NEP-UPT-2018-04-16 (Utility Models & Prospect Theory)
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