Search results with tag "Shrunk"

Honey, I Shrunk the Sample Covariance Matrix

the sample covariance matrix when short sales are ruled out, and that this is generally bene cial in terms of improving weights stability. All the more reason then to do it explicitly so that the optimal shrinkage intensity can be applied, as in our paper. Much of the foundations for the present work has been laid out by the authors in other papers

  Samples, Paper, Matrix, Covariance, I shrunk the sample covariance matrix, Shrunk