Improved Estimation of the Covariance Matrix of Stock Returns with an Application to Portfolio Selection. Ledoit, O. & Wolf, M. Journal of Empirical Finance, 10:603 -- 621, 2003. bibtex @article{ ledoit,
author = {O. Ledoit and M. Wolf},
title = {Improved Estimation of the Covariance Matrix of Stock Returns with an Application to Portfolio Selection},
journal = {Journal of Empirical Finance},
pages = {603 -- 621},
volume = {10} ,
year = {2003}
}
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