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Calibration of shrinkage estimators for portfolio optimization

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorMiguel, Victor de
dc.contributor.authorMartín Utrera, Alberto
dc.contributor.authorNogales, Francisco J.
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2011-05-09T15:07:56Z
dc.date.available2011-05-09T15:07:56Z
dc.date.issued2011-05
dc.description.abstractShrinkage estimators is an area widely studied in statistics. In this paper, we contemplate the role of shrinkage estimators on the construction of the investor's portfolio. We study the performance of shrinking the sample moments to estimate portfolio weights as well as the performance of shrinking the naive sample portfolio weights themselves. We provide a theoretical and empirical analysis of different new methods to calibrate shrinkage estimators within portfolio optimization
dc.format.mimetypeapplication/pdf
dc.identifier.repecws111510
dc.identifier.urihttps://hdl.handle.net/10016/11025
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries11-10
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.otherPortfolio choice
dc.subject.otherEstimation error
dc.subject.otherShrinkage estimators
dc.subject.otherSmoothed bootstrap
dc.titleCalibration of shrinkage estimators for portfolio optimization
dc.typeworking paper*
dspace.entity.typePublication
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