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dc.contributor.author | Ledoit, Olivier |
dc.contributor.author | Wolf, Michael |
dc.contributor.other | Universitat Pompeu Fabra. Departament d'Economia i Empresa |
dc.date.issued | 2003-06-01 |
dc.identifier | https://econ-papers.upf.edu/ca/paper.php?id=691 |
dc.identifier.citation | Journal of Portfolio Management 30, Volume 4, 110-119, 2004 |
dc.identifier.uri | http://hdl.handle.net/10230/560 |
dc.format.mimetype | application/pdf |
dc.language.iso | eng |
dc.relation.ispartofseries | Economics and Business Working Papers Series; 691 |
dc.rights | L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.title | Honey, I shrunk the sample covariance matrix |
dc.type | info:eu-repo/semantics/workingPaper |
dc.date.modified | 2016-09-29T02:50:22Z |
dc.subject.keyword | Finance and Accounting |
dc.subject.keyword | covariance matrix |
dc.subject.keyword | markovitz optimization |
dc.subject.keyword | shrinkage |
dc.subject.keyword | tracking error |
dc.rights.accessRights | info:eu-repo/semantics/openAccess |