Frahm, Gabriel; Memmel, Christoph - Seminar für Wirtschafts- und Sozialstatistik, … - 2008
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 ≥...