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Research Papers

Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS

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Received 02 Oct 2023, Accepted 19 Jun 2024, Published online: 16 Jul 2024

References

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  • De Nard, G., Ledoit, O. and Wolf, M., Factor models for portfolio selection in large dimensions: The good, the better and the ugly. J. Financial Econom., 2021, 19(2), 236–257.
  • Engle, R., Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. J. Bus. Econ. Stat., 2002, 20(3), 339–350.
  • Engle, R.F., Ledoit, O. and Wolf, M., Large dynamic covariance matrices. J. Bus. Econ. Stat., 2019, 37(2), 363–375.
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  • Ledoit, O. and Wolf, M., Markowitz portfolios under transaction costs. Working Paper Series, Department of Economics, No. 420, 2022b.
  • Ledoit, O., covShrinkage, 2022. https://github.com/oledoit/covShrinkage.
  • Sheppard, K., A MATLAB Toolbox for Financial Econometrics, 2023. Available online at: https://github.com/bashtage/mfe-toolbox (accessed 3 July 2024).

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