shrinkage approach accounting for estimation risk in both, mean and covariance of the return vector, is generally superior to …

This paper builds on a simple unified representation of shrinkage Bayes estimators based on hierarchical Normal …-Gamma priors. Various popular penalized least squares estimators for shrinkage and selection in regression models can be recovered … – 2010 I exhaustively evaluate the forecasting properties of Bayesian shrinkage in regressions with many predictors. Results …