Golosnoy, Vasyl; Okhrin, Yarema - In: Journal of Economic Dynamics and Control 33 (2009) 2, pp. 317-328
How to quantify estimation risk is important in portfolio selection. For this purpose we derive the flexible shrinkage estimator for the optimal portfolio weights, which allows dynamic adjustments of model structure. Our estimator is based on grouping the assets in order to capture...