Frahm, Gabriel; Memmel, Christoph - In: Journal of Econometrics 159 (2010) 2, pp. 289-302
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...