Showing 1 - 10 of 13
Persistent link: https://www.econbiz.de/10004887863
Persistent link: https://www.econbiz.de/10004887910
Persistent link: https://www.econbiz.de/10009139039
Persistent link: https://www.econbiz.de/10004568215
Persistent link: https://www.econbiz.de/10004884882
Persistent link: https://www.econbiz.de/10004887895
Persistent link: https://www.econbiz.de/10004890589
Persistent link: https://www.econbiz.de/10004890593
Persistent link: https://www.econbiz.de/10004928850
In this paper, we derive two shrinkage estimators for the global minimum variance portfolio 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 observations n = d + 2 and number of assets d = 4 ....
Persistent link: https://www.econbiz.de/10009128563