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Risk Reduction and Efficiency Increase in Large Portfolios: Gross-Exposure Constraints and Shrinkage of the Covariance Matrix
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论文类型：期刊论文
第一作者：Zhao, Z.
通讯作者：Jiang, H.
合写作者：Ledoit, O.
发表刊物：Journal of Financial Econometrics (To appear)
收录刊物：SCI
发表时间：2021-01-01