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Bodnar, Taras (author), Okhrin, Yarema (author), Parolya, N. (author)In this article, we estimate the mean-variance portfolio in the high-dimensional case using the recent results from the theory of random matrices. We construct a linear shrinkage estimator which is distribution-free and is optimal in the sense of maximizing with probability one the asymptotic out-of-sample expected utility, that is, mean...journal article 2021