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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