Comparing Portfolio Performance: Active strategies versus Naive Diversification in Normal and Large-Dimensional Settings with Factor Models and DCC-NL Estimation

Additional Metadata
Keywords	portfolio selection; estimation risk; mean-variance optimization; volatility timing; factor models; non-linear shrinkage
Thesis Advisor	Lonn, SOR
Persistent URL	hdl.handle.net/2105/67900
Series	Econometrie
Organisation	Erasmus School of Economics
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Zhao, C. (2023, September 13). Comparing Portfolio Performance: Active strategies versus Naive Diversification in Normal and Large-Dimensional Settings with Factor Models and DCC-NL Estimation. Econometrie. Retrieved from http://hdl.handle.net/2105/67900

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