Calibration of shrinkage estimators for portfolio optimization

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dc.contributor.author Miguel, Victor de
dc.contributor.author Martín Utrera, Alberto
dc.contributor.author Nogales, Francisco J.
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2011-05-09T15:07:56Z
dc.date.available 2011-05-09T15:07:56Z
dc.date.issued 2011-05
dc.identifier.uri http://hdl.handle.net/10016/11025
dc.description.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
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 11-10
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Portfolio choice
dc.subject.other Estimation error
dc.subject.other Shrinkage estimators
dc.subject.other Smoothed bootstrap
dc.title Calibration of shrinkage estimators for portfolio optimization
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
dc.identifier.repec ws111510
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