Flexible shrinkage in portfolio selection
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Publication:2271631
DOI10.1016/j.jedc.2008.06.003zbMath1170.91412OpenAlexW2160271195MaRDI QIDQ2271631
Publication date: 7 August 2009
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://nbn-resolving.org/urn:nbn:de:bvb:384-opus4-475416
\(k\)-means clusteringestimation risk and model uncertaintymodel structure amountmultivariate shrinkage estimator
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (5)
A Krylov subspace approach to large portfolio optimization ⋮ Disentangling the role of variance and covariance information in portfolio selection problems ⋮ Sequential monitoring of portfolio betas ⋮ THE EFFECT OF ESTIMATION IN HIGH-DIMENSIONAL PORTFOLIOS ⋮ Moment identity for discrete random variable and its applications
Cites Work
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- Distributional properties of portfolio weights
- Persistence in forecasting performance and conditional combination strategies
- Cluster analysis for portfolio optimization
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Hierarchical Bayes Methods for Multifactor Model Estimation and Portfolio Selection
- ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS
- Variable Selection for Model-Based Clustering
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