Covariance matrix estimation for robust portfolio allocation
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More about this item
Keywords
Robust portfolio; minimum-variance; eigenvalue clipping; OLS covariance;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-05-22 (Econometrics)
- NEP-RMG-2023-05-22 (Risk Management)
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