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Vali Asimit

Bayes Business School

Professor

SCHOLARLY PAPERS

1

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191

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Scholarly Papers (1)

1.

Distribution-free shrinkage of high-dimensional mean vector

Number of pages: 71 Posted: 20 May 2025 Last Revised: 22 Feb 2026
Ziwei Chen, Vali Asimit and Nathan Lassance
City University London - Bayes Business School, City University London - Bayes Business School and UCLouvain - LFIN/LIDAM
Downloads 191

Abstract:

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bona-fide estimator, high-dimensional asymptotics, mean-variance portfolio, mean-vector estimation, shrinkage estimation