1300 Sunnyside Drive
Lawrence, KS 66045-7585
United States
University of Kansas - Department of Economics
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Dimensionality reduction, Shrinkage, Efficient Portfolios, Principal Components Regression (PCR), Partial Least Squares (PLS), Three-Pass Regression Filter (3PRF), Ridge Regression, LASSO
Portfolio Efficiency, Conditional Information, Efficiency Tests, GEL, GMM