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dc.contributor | Universitat Pompeu Fabra. Departament d'Economia i Empresa |
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dc.contributor.author | Ledoit, Olivier |
dc.contributor.author | Wolf, Michael |
dc.date | 2001-11-01 |
dc.identifier.citation | https://econ-papers.upf.edu/ca/paper.php?id=586 |
dc.identifier.citation | Journal of Empirical Finance 10, 603-621, 2003 |
dc.identifier.uri | http://hdl.handle.net/10230/656 |
dc.format | application/pdf |
dc.language.iso | eng |
dc.relation | Economics and Business Working Papers Series; 586 |
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 | info:eu-repo/semantics/openAccess |
dc.rights | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.subject | covariance matrix estimation |
dc.subject | factor models |
dc.subject | portofolio selection |
dc.subject | shrinkage |
dc.subject | Finance and Accounting |
dc.title | Improved estimation of the covariance matrix of stock returns with an application to portofolio selection |
dc.type | info:eu-repo/semantics/workingPaper |
dc.description.abstract |