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Improving minimum-variance portfolio through shrinkage of large covariance matrices
Journal article
Shi, Fangquan, Shu, Lianjie, He, Fangyi, Huang, Wenpo. Improving minimum-variance portfolio through shrinkage of large covariance matrices[J]. Economic Modelling, 2025, 144, 106981.
Authors:
Shi, Fangquan
;
Shu, Lianjie
;
He, Fangyi
;
Huang, Wenpo
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IF:
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Submit date：2025/01/22
Portfolio Optimization
Covariance Matrix
Linear Shrinkage
High Dimension
