Ledoit-Wolf shrinkdage

Specific differences between Ledoit-Wolf and factor models

May 22, 2011 | Pat

What can we learn about the difference in structure between a Ledoit-Wolf variance matrix and a corresponding factor model variance? Previously We’ve generated a set of random portfolios with constraints on the risk fractions of a Ledoit-Wolf variance matrix, and a corresponding set of random portfolios with risk fraction ... [Read more...]

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