Showing 1 - 1 of 1
In this paper, we derive two shrinkage estimators for minimum-variance portfolios that dominate the traditional estimator with respect to the out-of-sample variance of the portfolio return. The presented results hold for any number of assets d=4 and number of observations n=d+2. The small-sample...
Persistent link: https://www.econbiz.de/10008866534