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20092026
most citedOptimal intervention in the foreign exchange market when interventions affect market dynamics

1 citations · 2 across the 5 of their papers we have counts for

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q-fin.CP2021

Multi Anchor Point Shrinkage for the Sample Covariance Matrix (Extended Version)

Hubeyb Gurdogan, Alec Kercheval

Portfolio managers faced with limited sample sizes must use factor models to estimate the covariance matrix of a high-dimensional returns vector. For the simplest one-factor market…