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Calibration of shrinkage estimators for portfolio optimization

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  • Victor DeMiguel

    ()

  • Alberto Martín Utrera

    ()

  • Francisco J. Nogales

    ()

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    Abstract

    Shrinkage estimators is an area widely studied in statistics. In this paper, we contemplate the role of shrinkage estimators on the construction of the investor's portfolio. We study the performance of shrinking the sample moments to estimate portfolio weights as well as the performance of shrinking the naive sample portfolio weights themselves. We provide a theoretical and empirical analysis of different new methods to calibrate shrinkage estimators within portfolio optimization

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    File URL: http://e-archivo.uc3m.es/bitstream/10016/11025/1/ws111510.pdf
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    Bibliographic Info

    Paper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws111510.

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    Date of creation: May 2011
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    Handle: RePEc:cte:wsrepe:ws111510

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    Related research

    Keywords: Portfolio choice; Estimation error; Shrinkage estimators; Smoothed bootstrap;

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