Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio

1 code implementation • 3 Jun 2021 • Taras Bodnar, Nestor Parolya, Erik Thorsen

In this paper, new results in random matrix theory are derived which allow us to construct a shrinkage estimator of the global minimum variance (GMV) portfolio when the shrinkage target is a random object.

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