Miguel, Victor deMartín Utrera, AlbertoNogales, Francisco J.Universidad Carlos III de Madrid. Departamento de Estadística2011-05-092011-05-092011-05https://hdl.handle.net/10016/11025Shrinkage 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 optimizationapplication/pdfengAtribución-NoComercial-SinDerivadas 3.0 EspañaPortfolio choiceEstimation errorShrinkage estimatorsSmoothed bootstrapworking paperEstadísticaopen accessws111510