Shrinking the Variance-Covariance Matrix: Simpler is Better

Muhammad Husnain (), Arshad Hassan () and Eric Lamarque ()
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Muhammad Husnain: Department of Management Sciences, Capital University of Science and Technology, Islamabad; research fellow, IAE de Paris, Université Paris 1 Panthéon -Sorbonne
Arshad Hassan: Associate Professor , Faculty of Management and Social Sciences, Capital University of Science and Technology, Islamabad
Eric Lamarque: Professor, IAE de Paris, Université Paris 1 Panthéon-Sorbonne.

Lahore Journal of Economics, 2016, vol. 21, issue 1, 1-21

Keywords: Variance-covariance matrix; mean-variance criteria; portfolio management (search for similar items in EconPapers)
JEL-codes: C13 C51 C52 G11 G15 (search for similar items in EconPapers)
Date: 2016
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