| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089681 | Journal of Banking & Finance | 2013 | 11 Pages |
Abstract
⺠We propose a constrained minimum-variance portfolio strategy. ⺠New strategy is based on a shrinkage theory based framework. ⺠Our policy improves the performance of the benchmark strategies substantially. ⺠Turnover and short interest are only moderately increased. ⺠We validate our strong performance with established bootstrap methods.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Patrick Behr, Andre Guettler, Felix Miebs,