Good morning to everyone except people who use a sample covariance matrix in their portfolio optimiser.
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Sure. Any optimisation with 3K stocks is going to be painful. But even then, you can still use your sample estimate(s) with regularization. But perhaps I'm taking your reference to "sample" estimate too broadly, and we're talking about different things.
Yeah I would say if you are regularising it you are not using the sample cov matrix any more.
