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