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When do Improved Covariance Matrix Estimators Enhance Portfolio Optimization? An Empirical Comparative Study of Nine Estimators
Pantaleo, Ester, Tumminello, Michele, Lillo, Fabrizio, Mantegna, Rosario N.Year:
2010
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.1596865
File:
PDF, 416 KB
english, 2010