MV Portfolio via Shrinkage of Large CM
Published: 19 December 2024| Version 1 | DOI: 10.17632/vm4wj9mycr.1
Contributor:
Wenpo HuangDescription
The "data" folder includes six real datasets (100IN, 100FF, 100OP, 100SP, 200FS, 235NY, 300CP, and 500CP) and three simulated datasets (ST50, ST100, and ST500). The "code" file provides functions and instructions for reproducing the tables and figures.
Files
Categories
Portfolio Optimization, Portfolio Analysis