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Dominating estimators for minimum-variance portfolios · Study

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ArticleDominating estimators for minimum-variance portfolios

Gabriel Frahm2010

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Dominating estimators for minimum-variance portfolios

Gabriel Frahm · Christoph Memmel

121 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1952Portfolio Selection 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?1980On estimating the expected return on the market 1963A Simplified Model for Portfolio Analysis 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice 2011Quantitative Risk Management

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2011Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection 2017Estimation of the global minimum variance portfolio in high dimensions 2014Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks 2014Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks 2021Optimal Shrinkage-Based Portfolio Selection in High Dimensions

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2012Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrixarticle · 12 shared references 2012On portfolio optimization: Imposing the right constraintsarticle · 10 shared references 2024The Risk of Expected Utility Under Parameter Uncertaintyarticle · 10 shared references 2007Multivariate Shrinkage for Optimal Portfolio Weightsarticle · 9 shared references 2012Performance Analysis and Optimal Selection of Large Minimum Variance Portfolios Under Estimation Riskarticle · 9 shared references 2011Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns?article · 9 shared references

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Year2010

Typearticle

Published2010-08-07

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations121

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2010.07.007

openalex_workW1999409144

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2014

Diversifying risk parity

2013Solving norm constrained portfolio optimization via coordinate-wise descent algorithms

2012Performance Analysis and Optimal Selection of Large Minimum Variance Portfolios Under Estimation Risk