Estimation of the optimal portfolio weights by shrinking the mean vector towards a linear subspace

DOI10.1080/02331880903348499zbMath1283.62042OpenAlexW1979963686MaRDI QIDQ5402494

Nobuo Shinozaki, Takuya Kinkawa

Publication date: 14 March 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880903348499

zbMATH Keywords

Stein estimatorestimation riskmean-variance optimal portfolioBlack-Litterman approachshrinkage towards the grand mean

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Point estimation (62F10) Portfolio theory (91G10)

Cites Work

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