Honey, I shrunk the sample covariance matrix


What a title! The paper starts:


The central message of this paper is that nobody should be using the sample covariance matrix for the purpose of portfolio optimization.

...so you know whether it's worth reading it. Personally, I don't find that type of thing a turn-on.

1 comments:

  1. Anonymous Says:

    ^^ nice blog!! ^@^

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