Browsing Student papers by Author "Sokolova, Daria"
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Portfolio risk hedging: Currency exposure and Shrinkage techniques
Sokolova, Daria; Boyadzhieva, Elitsa Todorova (Master thesis, 2022)We apply different shrinkage techniques to the covariance and concentration matrices used for the minimum variance currency risk hedging of a globally diversified portfolio. The techniques are applied with the aim to induce ...