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Factor Models for Portfolio Selection in Large Dimensions: ..:
De Nard, Gianluca
;
Ledoit, Olivier
;
Wolf, Michael
Journal of Financial Econometrics (2021)andUniversity of Zurich, Department of Economics, Working Paper No. 290, Revised version. , 2018
Link:
https://ssrn.com/abstract=3194492
RT Journal T1 <Title>Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly</Title> UL https://suche.suub.uni-bremen.de/peid=ssrn-3194492&Exemplar=1&LAN=DE A1 De Nard, Gianluca A1 Ledoit, Olivier A1 Wolf, Michael YR 2018 K1 Dynamic conditional correlations K1 factor models K1 multivariate GARCH K1 Markowitz portfolio selection K1 nonlinear shrinkage JF Journal of Financial Econometrics (2021)andUniversity of Zurich, Department of Economics, Working Paper No. 290, Revised version LK http://dx.doi.org/https://ssrn.com/abstract=3194492 DO https://ssrn.com/abstract=3194492 SF ELIB - SuUB Bremen
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