Two is Better Than One: Regularized Shrinkage of Large Minimum Variance Portfolios

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Two is Better Than One: Regularized Shrinkage of Large Minimum Variance Portfolios

Journal Article (2024)

Author(s)

Taras Bodnar (Linköping University)

N. Parolya (TU Delft - Statistics)

Erik Thorsén (Stockholm University)

Research Group

Statistics

Machine learning Shrinkage estimation Random matrix theory Tikhonov regularization Minumum variance Large covariance matrix

To reference this document use:

https://resolver.tudelft.nl/uuid:c3b37f5c-65fb-48bd-b758-6a2439e7864a

More Info

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Publication Year

2024

Language

English

Research Group

Statistics

Issue number

173

Volume number

25

Pages (from-to)

1-32

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