"Cross validation based transfer learning for cross-sectional non-linear ..."

Torsten Mörstedt, Bernhard Lutz, Dirk Neumann (2024)

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DOI: 10.1016/J.EJOR.2024.05.006

access: open

type: Journal Article

metadata version: 2024-12-09

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Torsten Mörstedt, Bernhard Lutz, Dirk Neumann:
Cross validation based transfer learning for cross-sectional non-linear shrinkage: A data-driven approach in portfolio optimization. Eur. J. Oper. Res. 318(2): 670-685 (2024)

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