"Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance ..."

Taras Bodnar, Nestor Parolya, Erik Thorsén (2023)

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DOI: 10.1109/TSP.2023.3263950

access: closed

type: Journal Article

metadata version: 2023-05-17

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Taras Bodnar, Nestor Parolya, Erik Thorsén:
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio. IEEE Trans. Signal Process. 71: 1334-1349 (2023)

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