Portfolio risk under regularization.
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https://figshare.com/articles/dataset/_Portfolio_risk_under_regularization_/738748
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Mean absolute deviations, mean squared deviations, Sharpe-Ratio and turnover of the resulting portfolios for the different regularized covariance estimators for optimal regularization strength and the different markets. DVA mean significantly better/worse than this model at the 5% level, tested by a randomization test.
创建时间：
2013-07-03
