Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089753 | Journal of Banking & Finance | 2012 | 10 Pages |
Abstract
⺠We directly apply shrinkage to the inverse covariance matrix for portfolio choice. ⺠We optimise our estimators under portfolio objectives using non-parametric methods. ⺠The proposed shrinkage estimators lead to a set of new portfolio strategies. ⺠The new strategies offer low levels of variances and high risk-adjusted returns. ⺠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
Apostolos Kourtis, George Dotsis, Raphael N. Markellos,