Asymptotic analysis of different covariance matrices estimation for minimum variance portfolio
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- Kan, Raymond & Zhou, Guofu, 2007. "Optimal Portfolio Choice with Parameter Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(3), pages 621-656, September.
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Keywords
covariance matrix estimation; portfolio theory; deviation inequality; ergodic process;All these keywords.
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