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Persistent link: https://www.econbiz.de/10004880896
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