Maximum likelihood estimation refines and augments an existing factor model with new transient factors using only observed asset returns and two hyperparameters.
Honey, I Shrunk the Sample Covariance Matrix.The Journal of Portfolio Management, 30(4):110–119, 2004
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Enhancing a Risk Model by Adding Transient Statistical Factors
Maximum likelihood estimation refines and augments an existing factor model with new transient factors using only observed asset returns and two hyperparameters.