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Adaptive Beta Shrinkage estimation of covariance matrices
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Henri Staal --- Department of Statistics and Actuarial Science, Stellenbosch University, South Africa Emlyn Flint --- Peresec, South AfricaAccurate estimation of the covariance matrix is essential for mean-variance portfolio optimisation, yet the sample covariance matrix is a notoriously noisy estimate, especially in high dimensions. Contemporary shrinkage methods attempt to mitigate this noise but often retain significant estimation error...