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Optimization Bias Free PCA
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Classroom Contents
James-Stein Estimation of Minimum Variance Portfolios - BQE Lecture Series
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- 1 Introduction
- 2 Marks Optimization Enigma
- 3 Spiked Covariance Model
- 4 Markowitz Enigma
- 5 Optimization Bias
- 6 Future Work
- 7 Optimization Bias Free PCA
- 8 Assumptions
- 9 Data Matrix
- 10 Correction for Bias
- 11 Recipe
- 12 Boundedness
- 13 Numerical Evidence
- 14 Beta Adjustments
- 15 The Sign Paradox
- 16 shrinkage formula
- 17 shrinkage paradox
- 18 jamestime estimator
- 19 summary
- 20 mean squared error
- 21 angles
