Dominating estimators for minimum-variance portfolios

DOI10.1016/j.jeconom.2010.07.007zbMath1441.62264OpenAlexW1999409144MaRDI QIDQ737248

Gabriel Frahm, Christoph Memmel

Publication date: 10 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.07.007

zbMATH Keywords

shrinkage estimatorcovariance matrix estimationStein estimationminimum-variance portfolionaive diversification

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Nonparametric statistical resampling methods (62G09) Portfolio theory (91G10)

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Cites Work

• A well-conditioned estimator for large-dimensional covariance matrices
• Distributional properties of portfolio weights
• Stein estimation under elliptical distributions
• The impact of bootstrap methods on time series analysis
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