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18-099/III - Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models


  • Authors
    Andries C. van Vlodrop, Vrije Universiteit Amsterdam; Andre (A.) Lucas, Vrije Universiteit Amsterdam
  • Publication date
    December 22, 2018
  • Keywords
    Portfolio allocation; high dimensions; linear and non-linear shrinkage; factor models
  • JEL
    G11, C38, C58, C55