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A Shrinkage Approach to Model Uncertainty and Asset Allocation


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  1. Caporin, Massimiliano & Costola, Michele & Jannin, Gregory & Maillet, Bertrand, 2018. "“On the (Ab)use of Omega?”," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 11-33.
  2. Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168222, Verein für Socialpolitik / German Economic Association.
  3. Mishra, Anil V., 2016. "Foreign bias in Australian-domiciled mutual fund holdings," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 101-123.
  4. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2013. "On the equivalence of quadratic optimization problems commonly used in portfolio theory," European Journal of Operational Research, Elsevier, vol. 229(3), pages 637-644.
  5. Sessi Tokpavi, 2011. "Asset Allocation with Aversion to Parameter Uncertainty: A Minimax Regression Approach," Working Papers hal-04141019, HAL.
  6. Tu, Jun & Zhou, Guofu, 2011. "Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies," Journal of Financial Economics, Elsevier, vol. 99(1), pages 204-215, January.
  7. Wachter, Jessica A. & Warusawitharana, Missaka, 2009. "Predictable returns and asset allocation: Should a skeptical investor time the market?," Journal of Econometrics, Elsevier, vol. 148(2), pages 162-178, February.
  8. Wang, Jianli & Wang, Shaolin & Dong, Minghua & Wang, Hongxia, 2024. "ESG rating disagreement and stock returns: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 91(C).
  9. Sangwon Suh, 2016. "A Combination Rule for Portfolio Selection with Transaction Costs," International Review of Finance, International Review of Finance Ltd., vol. 16(3), pages 393-420, September.
  10. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2015. "A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function," Annals of Operations Research, Springer, vol. 229(1), pages 121-158, June.
  11. Hwang, Inchang & Xu, Simon & In, Francis, 2018. "Naive versus optimal diversification: Tail risk and performance," European Journal of Operational Research, Elsevier, vol. 265(1), pages 372-388.
  12. Hautsch, Nikolaus & Voigt, Stefan, 2019. "Large-scale portfolio allocation under transaction costs and model uncertainty," Journal of Econometrics, Elsevier, vol. 212(1), pages 221-240.
  13. Kontosakos, Vasileios E. & Hwang, Soosung & Kallinterakis, Vasileios & Pantelous, Athanasios A., 2024. "Long-term dynamic asset allocation under asymmetric risk preferences," European Journal of Operational Research, Elsevier, vol. 312(2), pages 765-782.
  14. Mishra, Anil V., 2017. "Foreign bias in Australia's international equity holdings," Review of Financial Economics, Elsevier, vol. 33(C), pages 41-54.
  15. Andrew Paskaramoorthy & Tim Gebbie & Terence van Zyl, 2021. "The efficient frontiers of mean-variance portfolio rules under distribution misspecification," Papers 2106.10491,, revised Jul 2021.
  16. Yemshanov, Denys & Koch, Frank H. & Lu, Bo & Lyons, D. Barry & Prestemon, Jeffrey P. & Scarr, Taylor & Koehler, Klaus, 2014. "There is no silver bullet: The value of diversification in planning invasive species surveillance," Ecological Economics, Elsevier, vol. 104(C), pages 61-72.
  17. Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Papers 2107.13866,
  18. Li, Jiangyuan & Yang, Jinqiang & Zou, Zhentao, 2019. "Compensation and risk: A perspective on the Lake Wobegon effect," Journal of Banking & Finance, Elsevier, vol. 108(C).
  19. Chiaki Hara & Toshiki Honda, 2014. "Asset Demand and Ambiguity Aversion," KIER Working Papers 911, Kyoto University, Institute of Economic Research.
  20. Xiaoxian Ma & Qingzhen Zhao & Jilin Qu, 2008. "Robust portfolio optimization with a generalized expected utility model under ambiguity," Annals of Finance, Springer, vol. 4(4), pages 431-444, October.
  21. Tu, Jun & Zhou, Guofu, 2010. "Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(4), pages 959-986, August.
  22. Vasyl Golosnoy, 2010. "No-transaction bounds and estimation risk," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 487-493.
  23. Golosnoy, Vasyl & Okhrin, Yarema, 2008. "General uncertainty in portfolio selection: A case-based decision approach," Journal of Economic Behavior & Organization, Elsevier, vol. 67(3-4), pages 718-734, September.
  24. DeMiguel, Victor & Martin-Utrera, Alberto & Nogales, Francisco J., 2013. "Size matters: Optimal calibration of shrinkage estimators for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3018-3034.
  25. Mishra, Anil V., 2015. "Measures of equity home bias puzzle," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 293-312.
  26. Thomas J. Brennan & Andrew W. Lo, 2010. "Impossible Frontiers," Management Science, INFORMS, vol. 56(6), pages 905-923, June.
  27. Lorenzo Garlappi & Raman Uppal & Tan Wang, 2007. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," The Review of Financial Studies, Society for Financial Studies, vol. 20(1), pages 41-81, January.
  28. Meade, N. & Beasley, J.E. & Adcock, C.J., 2021. "Quantitative portfolio selection: Using density forecasting to find consistent portfolios," European Journal of Operational Research, Elsevier, vol. 288(3), pages 1053-1067.
  29. Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 361-381, November.
  30. Fletcher, Jonathan, 2011. "Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns?," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 375-385.
  31. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York.
  32. Carroll, Rachael & Conlon, Thomas & Cotter, John & Salvador, Enrique, 2017. "Asset allocation with correlation: A composite trade-off," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1164-1180.
  33. Takuya Kinkawa & Nobuo Shinozaki, 2010. "Dominance of a Class of Stein type Estimators for Optimal Portfolio Weights When the Covariance Matrix is Unknown," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(1), pages 19-50, March.
  34. Dragon Yongjun Tang, 2014. "Potential losses from incorporating return predictability into portfolio allocation," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 35-45, February.
  35. Gulliksson, Mårten & Mazur, Stepan, 2019. "An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection," Working Papers 2019:3, Örebro University, School of Business.
  36. Zhang, Yugui & Zhu, Jie & Zhu, Xiaoneng, 2020. "Investing for the long run when expected equity premium is nonnegative," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
  37. Sang Il Lee, 2020. "Deeply Equal-Weighted Subset Portfolios," Papers 2006.14402,
  38. Chiaki Hara & Toshiki Honda, 2016. "Mutual Fund Theorem for Ambiguity-Averse Investors and the Optimality of the Market Portfolio," KIER Working Papers 943, Kyoto University, Institute of Economic Research.
  39. Cheng Yan & Ji Yan, 2021. "Optimal and naive diversification in an emerging market: Evidence from China's A‐shares market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3740-3758, July.
  40. Fotis Papailias & Dimitrios Thomakos, 2015. "Covariance averaging for improved estimation and portfolio allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(1), pages 31-59, February.
  41. Mårten Gulliksson & Stepan Mazur, 2020. "An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 773-794, December.
  42. Fabozzi, Frank J. & Huang, Dashan & Jiang, Fuwei & Wang, Jiexun, 2024. "What difference do new factor models make in portfolio allocation?," Journal of International Money and Finance, Elsevier, vol. 140(C).
  43. Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema, 2017. "Bayesian estimation of the global minimum variance portfolio," European Journal of Operational Research, Elsevier, vol. 256(1), pages 292-307.
  44. Bauder, David & Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema, 2018. "Bayesian inference for the tangent portfolio," Working Papers 2018:2, Örebro University, School of Business.
  45. Yan, Cheng & Zhang, Huazhu, 2017. "Mean-variance versus naïve diversification: The role of mispricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 61-81.
  46. Golosnoy, Vasyl & Okhrin, Yarema, 2009. "Flexible shrinkage in portfolio selection," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 317-328, February.
  47. Martín Utrera, Alberto & Nogales, Francisco J. & Miguel, Victor de, 2013. "Parameter uncertainty in multiperiod portfolio optimization with transaction costs," DES - Working Papers. Statistics and Econometrics. WS ws132119, Universidad Carlos III de Madrid. Departamento de Estadística.
  48. David Bauder & Taras Bodnar & Stepan Mazur & Yarema Okhrin, 2018. "Bayesian Inference For The Tangent Portfolio," Journal of Enterprising Culture (JEC), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-27, December.
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