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Hi - what do you mean in the below (found on your README) ?
Ledoit-Wolf Estimator from sklearn use shrinkage to zero correlation equal variance target and implies no systematic risk and equal total risk of all stocks.
The text was updated successfully, but these errors were encountered:
In the sklearn approach, all stocks have zero systematic risk and in a portfolio with large number of stocks it is possible to reduce its risk to zero or significantly underestimate portfolio risk
The proposed in "Honey, I Shrunk the Sample Covariance Matrix" approach preserves the systematic risk of the portfolio
Hi - what do you mean in the below (found on your README) ?
The text was updated successfully, but these errors were encountered: