Abstract
The subject here is construction of the covariance matrix for portfolio optimization. In terms of the ex post standard deviation of the global minimum-variance portfolio, there is no statistically significant gain in using more sophisticated shrinkage estimators rather than simpler portfolios of estimators. This finding holds whether or not the investor imposes short sale constraints to prevent portfolio weights from being negative.
- © 2007 Pageant Media Ltd
|
Don’t have access? IPR Journals is the leading provider of applicable theoretical research for all those in the investment management community. Benefit from access to our content including:
|
Log in using your username and password
In this issue
Shrinking the Covariance Matrix
