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Re: Ledoit Wolf shrinkage factor Portfolio optimization. Undefined function or variable 'shrink'.

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Dear all,

for this problem I am still looking for an answer.
At the moment I have plugged to folling line in:
shrink = -1;
Is this what I need for:
if (nargin < 2 | shrink == -1) % compute shrinkage parameters and constant

The weight vecor is not what I expected and Shows significant clusters.
Your help would be highly appreciated.

Best regards,
Philipp

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