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Robust portfolio construction: using resampled efficiency in combination with covariance shrinkage
The thesis considers the general area of robust portfolio construction. In particular the thesis considers two techniques in this area that aim to improve portfolio construction, and consequently portfolio performance. The first technique focusses on estimation error in the sample covariance (one of...
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| Format: | Thesis |
| Language: | English |
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Department of Statistical Sciences
2018
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