Publication: Calibration of shrinkage estimators for portfolio optimization
Loading...
Identifiers
Publication date
2011-05
Defense date
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Impact
Export
Abstract
Shrinkage 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
Description
Keywords
Portfolio choice, Estimation error, Shrinkage estimators, Smoothed bootstrap