From this paper: Ledoit, Olivier, and Michael Wolf. "Honey, I shrunk the sample covariance matrix." (2003).
I learned a way of shrinking the covariance matrix to get more robust portfolio optimization performance. Yet in the note #4, it says,
The constant correlation model would not be appropriate if the assets came from different asset classes, such as stocks and bonds. But in such cases more general models for the shrinkage target are available.
Does anyone know any such "more general models"? Thanks.