From this paper from Jorion.
Has anyone implemented this? How is the Covariance matrix estimated? It needs to estimate also the conditional distribution of the returns?
Best
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Sign up to join this communityFrom this paper from Jorion.
Has anyone implemented this? How is the Covariance matrix estimated? It needs to estimate also the conditional distribution of the returns?
Best
The implementation is explained in more detail in the Horse - Race of DeMiguel: see here