Title of article
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
Author/Authors
Olivier Ledoit، نويسنده , , Michael Wolf، نويسنده ,
Issue Information
دوماهنامه با شماره پیاپی سال 2003
Pages
19
From page
603
To page
621
Keywords
Covariance matrix estimation , Factor models , Portfolio selection , Shrinkage method
Journal title
Journal of Empirical Finance
Serial Year
2003
Journal title
Journal of Empirical Finance
Record number
130752
Link To Document