Candelon, B.; Hurlin, C.; Tokpavi, S. - In: Journal of Empirical Finance 19 (2012) 4, pp. 511-527
Shrinkage estimators of the covariance matrix are known to improve the stability over time of the Global Minimum Variance Portfolio (GMVP), as they are less error-prone. However, the improvement over the empirical covariance matrix is not optimal for small values of n, the estimation sample...