Manoj Singh has 29+ years of experience working for the Central Bank of India. He is the author of Bulls, Bears, and the Tortoise. Diversification naturally appeals to the risk-averse creature inside ...
This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...
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