Behr, Patrick; Guettler, Andre; Miebs, Felix - In: Journal of Banking & Finance 37 (2013) 4, pp. 1232-1242
We reassess the recent finding that no established portfolio strategy outperforms the naively diversified portfolio, 1/N, by developing a constrained minimum-variance portfolio strategy on a shrinkage theory based framework. Our results show that our constrained minimum-variance portfolio yields...