Article ID Journal Published Year Pages File Type
5089753 Journal of Banking & Finance 2012 10 Pages PDF
Abstract
► We directly apply shrinkage to the inverse covariance matrix for portfolio choice. ► We optimise our estimators under portfolio objectives using non-parametric methods. ► The proposed shrinkage estimators lead to a set of new portfolio strategies. ► The new strategies offer low levels of variances and high risk-adjusted returns. ► Our framework can easily accommodate a small sample and short-sale constraints.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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