Estimation of the optimal portfolio weights by shrinking the mean vector towards a linear subspace (Q5402494)
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scientific article; zbMATH DE number 6270036
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of the optimal portfolio weights by shrinking the mean vector towards a linear subspace |
scientific article; zbMATH DE number 6270036 |
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Estimation of the optimal portfolio weights by shrinking the mean vector towards a linear subspace (English)
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14 March 2014
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Stein estimator
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shrinkage towards the grand mean
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mean-variance optimal portfolio
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estimation risk
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Black-Litterman approach
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