Portfolio Constraints as Cross-Model Shrinkage: How Inefficient is the 1/M Covariance Combination?
André Santos (CUNEF Universidad, Spain)
- Erasmus Econometric Institute Series
André Santos (CUNEF Universidad, Spain)
Richard Samworth (University of Cambridge, United Kingdom)
Alberto Abadie (Massachusetts Institute of Technology, United States)
Keynote: Alberto Abadie (Massachusetts Institute of Technology, United States). Irene Botosaru (McMaster University, Canada), Florian Gunsilius (Emory University, United States), Toru Kitagawa (Brown University, United States), Claudia Noack (University of Bonn, Germany), Mikkel Sølvsten (Aarhus University, Denmark),
Giulia Livieri (London School of Economics and Political Science, United Kingdom)
Milena Almagro (The University of Chicago, United States)
Caroline Flammer (Columbia University, United States)
Daniel Wilhelm (LMU Munich, Germany)
Kristoph Kleiner (Indiana University, United States)
Anna Salomons (Utrecht University and Tilburg University)
Stefan Obernberger
Mark Podolskij (University of Luxembourg)
Ryan Lewis (University of Colorado, United States)
Bart Los (University of Groningen)
Christian T. Brownlees (LUISS Guido Carli, Italy)
Markus Ibert (Copenhagen Business School, Denmark)
Paolo Sodini (Stockholm School of Economics, Sweden)
Director of Graduate Studies and Students
Stanislav Anatolyev (CERGE-EI, Czech Republic)
Xuelin Li (Columbia University, United States)