Multivariate shrinkage for optimal portfolio weights

European Journal of Finance

Volumn 13, Issue 5, 2007, Pages 441-458

  Golosnoy, Vasyl ^a   Okhrin, Yarema ^b  

^a UNIVERSITY OF KIEL   (Germany)

^b EUROPEAN UNIVERSITY VIADRINA   (Germany)

Author keywords

Estimation risk; Multivariate shrinkage; Portfolio selection; Shrinkage estimation

Indexed keywords

EID: 34547581439     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/13518470601137592     Document Type: Article

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