RT Generic
T1 Calibration of shrinkage estimators for portfolio optimization
A1 Miguel, Victor de
A1 Martín Utrera, Alberto
A1 Nogales, Francisco J.
A2 Universidad Carlos III de Madrid. Departamento de Estadística, 
AB Shrinkage estimators is an area widely studied in statistics. In this paper, wecontemplate the role of shrinkage estimators on the construction of the investor'sportfolio. We study the performance of shrinking the sample moments to estimateportfolio weights as well as the performance of shrinking the naive sample portfolioweights themselves. We provide a theoretical and empirical analysis of different newmethods to calibrate shrinkage estimators within portfolio optimization
YR 2011
FD 2011-05
LK https://hdl.handle.net/10016/11025
UL https://hdl.handle.net/10016/11025
LA eng
DS e-Archivo
RD 3 may. 2024