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Erik Thorsen

affiliation not provided to SSRN

  • affiliation not provided to SSRN

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Is the Empirical Out-of-Sample Variance an Informative Risk Measure for the High-Dimensional Portfolios?

Number of pages: 13 Posted: 15 Feb 2023
Taras Bodnar, Nestor Parolya and Erik Thorsen
Stockholm University, Delft University of Technology and affiliation not provided to SSRN
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Abstract:

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Shrinkage estimator, high-dimensional covariance matrix, Random matrix theory, minimum variance portfolio, parameter uncertainty