A nonparametric approach to portfolio shrinkage
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DOI: 10.1016/j.jbankfin.2020.105953
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- Billio Monica & Casarin Roberto & Costola Michele & Iacopini Matteo, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Papers 2101.00422, arXiv.org.
- Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Working Papers 2021:05, Department of Economics, University of Venice "Ca' Foscari".
- Pier Francesco Procacci & Tomaso Aste, 2022. "Portfolio optimization with sparse multivariate modeling," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 445-465, October.
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More about this item
Keywords
Turnover minimization; Shrinkage estimator; Parameter uncertainty; Portfolio optimization;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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