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Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio.

Taras BodnarNestor ParolyaErik Thorsén
Published in: IEEE Trans. Signal Process. (2023)
Keyphrases
  • minimum variance
  • high dimensional
  • portfolio optimization
  • dimensionality reduction
  • spectral estimation
  • estimation error
  • multiscale
  • pattern recognition
  • feature space