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Improved estimation of the covariance matrix of stock returns with an application to portfolio selection

Olivier Ledoit, Michael Wolf

2003.12.1Journal of Empirical Finance

DOI: 10.1016/s0927-5398(03)00007-0

Abstract

Abstract is not available.

Citation format

LEDOIT, Olivier; WOLF, Michael. Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. Journal of Empirical Finance, 2003, 10: 603–621.