Dominating estimators for minimum-variance portfolios

Journal of Econometrics

Volumn 159, Issue 2, 2010, Pages 289-302

  Frahm, Gabriel ^a   Memmel, Christoph ^b  

^a UNIVERSITY OF COLOGNE   (Germany)

^b DEUTSCHE BUNDESBANK   (Germany)

Author keywords

Covariance matrix estimation; Minimum variance portfolio; Naive diversification; Shrinkage estimator; Stein estimation

Indexed keywords

COVARIANCE MATRIX ESTIMATION; MINIMUM-VARIANCE PORTFOLIO; NAIVE DIVERSIFICATION; SHRINKAGE ESTIMATOR; STEIN ESTIMATION;

COVARIANCE MATRIX; SHRINKAGE; TIME SERIES;

ESTIMATION;

EID: 77958002711     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.07.007     Document Type: Article

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