Weight shrinkage for portfolio optimization

2011 4th IEEE International Workshop on Computational Advances in Multi-Sensor Adaptive Processing, CAMSAP 2011

Volumn , Issue , 2011, Pages 37-40

  Pollak, Ilya ^a  

^a PURDUE UNIVERSITY   (United States)

Author keywords

covariance; diversification; finance; market; Markowitz; Portfolios; shrinkage; stock

Indexed keywords

COVARIANCE; DIVERSIFICATION; MARKET; MARKOWITZ; PORTFOLIOS; STOCK;

COMMERCE; FINANCE; FINANCIAL DATA PROCESSING; SENSORS;

SHRINKAGE;

EID: 84857176801     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/CAMSAP.2011.6136031     Document Type: Conference Paper

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