Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix

Journal of Banking and Finance

Volumn 36, Issue 9, 2012, Pages 2522-2531

  Kourtis, Apostolos ^a   Dotsis, George ^b,c   Markellos, Raphael N ^a  

^a UNIVERSITY OF EAST ANGLIA   (United Kingdom)

^b UNIVERSITY OF ESSEX   (United Kingdom)

^c UNIVERSITY OF ATHENS   (Greece)

Author keywords

Estimation risk; Inverse covariance matrix; Portfolio optimisation; Shrinkage

Indexed keywords

EID: 84864098146     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2012.05.005     Document Type: Article

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