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We put previous estimators into a common framework and compare their filtering functions for eigenvalues of the correlation matrix. We demonstrate the effectiveness of our estimator using stock return data from 1958 through 2007.<\/jats:p>","DOI":"10.1137\/090749372","type":"journal-article","created":{"date-parts":[[2011,8,4]],"date-time":"2011-08-04T12:32:40Z","timestamp":1312461160000},"page":"932-961","source":"Crossref","is-referenced-by-count":6,"title":["Portfolio Selection Using Tikhonov Filtering to Estimate the Covariance Matrix"],"prefix":"10.1137","volume":"1","author":[{"given":"Sungwoo","family":"Park","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Dianne P.","family":"O'Leary","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2010,12,14]]},"reference":[{"key":"R1","doi-asserted-by":"publisher","DOI":"10.1111\/j.2044-8317.1950.tb00285.x"},{"key":"R2","unstructured":"C. Bengtsson and J. 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