Approaching Mean-Variance Efficiency for Large Portfolios

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Robert Tibshirani · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1996 · 51.8K citations

Business, Biostatistics, Computer Science +17

Least angle regression

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Computing, Biostatistics, Computer Science +13

PORTFOLIO SELECTION*

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A well-conditioned estimator for large-dimensional covariance matrices

Olivier Ledoit, Michael Wolf · Journal of Multivariate Analysis · 2003 · 2.9K citations · Full text

Computing, Computer Science, Time Series Analysis +8