research
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07/26/2022
Estimation of sub-Gaussian random vectors using the method of moments
The sub-Gaussian stable distribution is a heavy-tailed elliptically cont...
research
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02/14/2022
Two is better than one: Regularized shrinkage of large minimum variance portfolio
In this paper we construct a shrinkage estimator of the global minimum v...
research
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06/03/2021