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Journal of Business & Economic Statistics Volume 41, 2023 - Issue 1
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Articles

Optimal Shrinkage-Based Portfolio Selection in High Dimensions

Taras Bodnara Department of Mathematics, Stockholm University, Stockholm, Sweden;;
,
Yarema Okhrinb Department of Statistics, University of Augsburg, Augsburg, Germany;;
&
Nestor Parolyac Department of Applied Mathematics, Delft University of Technology, Delft, The NetherlandsCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0003-2147-2288
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Pages 140-156 | Published online: 21 Dec 2021

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