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Calibration of shrinkage estimators for portfolio optimization


  • Nogales, Francisco J.
  • Martín Utrera, Alberto
  • Miguel, Victor de


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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  • Nogales, Francisco J. & Martín Utrera, Alberto & Miguel, Victor de, 2011. "Calibration of shrinkage estimators for portfolio optimization," DES - Working Papers. Statistics and Econometrics. WS ws111510, Universidad Carlos III de Madrid. Departamento de Estadística.
  • Handle: RePEc:cte:wsrepe:ws111510

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