Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks
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- Olivier Ledoit
- University of Zurich, AlphaCrest Capital Management
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- Michael Wolf
- University of Zurich
書誌事項
- 公開日
- 2017-06-08
- DOI
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- 10.1093/rfs/hhx052
- 公開者
- Oxford University Press (OUP)
この論文をさがす
収録刊行物
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- The Review of Financial Studies
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The Review of Financial Studies 30 (12), 4349-4388, 2017-06-08
Oxford University Press (OUP)