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)
Giulia Livieri (London School of Economics and Political Science, United Kingdom)
Federico Crudu (University of Siena, Italy)
Daniel Wilhelm (LMU Munich, Germany)
Robin Lumsdaine (American University Washington, United States and Erasmus University Rotterdam)
Xiaolin Sun (University of Manchester, United Kingdom)
Mark Podolskij (University of Luxembourg)
Jiti Gao (Monash University, Australia)
Daniel Lewis (University College London, United Kingdom)
Christian T. Brownlees (LUISS Guido Carli, Italy)
Andrii Babii (The University of North Carolina at Chapel Hill, United States)
Stanislav Anatolyev (CERGE-EI, Czech Republic)
Andrew Nobel (University of North Carolina, United States)
Roberto Renò (ESSEC Business School, France)
Nestor Parolya (TU Delft)
Andrew Harvey (University of Cambridge, United Kingdom)
Matteo Barigozzi (University of Bologna, Italy)
Bernd Schwaab (European Central Bank, Germany)
Şifa Çelik (Eindhoven University of Technology)