Chapter 17: Portfolio Construction
Covariance Shrinkage for Portfolio Allocation intermediate
Mean-variance portfolios fail less often when the covariance matrix is regularized before it is inverted.
Mean-variance portfolios fail less often when the covariance matrix is regularized before it is inverted.
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References
The Elements of Quantitative Investing
Giuseppe A. Paleologo
(2025)
— John Wiley & Sons
Portfolio selection
Harry Markowitz
(1952)
— The journal of finance
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
Olivier Ledoit, Michael Wolf
(2003)
— Journal of Empirical Finance
Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?
Victor DeMiguel, Lorenzo Garlappi, Raman Uppal
(2009)
— The Review of Financial Studies