MV Portfolio via Shrinkage of Large CM

Published: 19 December 2024| Version 1 | DOI: 10.17632/vm4wj9mycr.1
Contributor:
Wenpo Huang

Description

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

Licence