Universal Portfolio Shrinkage
收藏NBER2024-01-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w32004
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资源简介：
We introduce a nonlinear covariance shrinkage method for building optimal portfolios. Our universal portfolio shrinkage approximator (UPSA) is given in closed form, is cheap to implement, and improves upon existing shrinkage methods. Rather than annihilating low-variance principal components of
提供机构：
美国国家经济研究局
创建时间：
2024-01-01
