Arbeitspapier
Dominating estimators for the global minimum variance portfolio
In this paper, we derive two shrinkage estimators for the global minimum variance portfolio that dominate the traditional estimator with respect to the out-of-sample variance of the portfolio return. The presented results hold for any number of observations n ≥ d + 2 and number of assets d ≥ 4 . The small-sample properties of the shrinkage estimators as well as their large-sample properties for fixed d but n → ∞ as well as n/d → ∞ but n/d → q ≤ ∞ are investigated. Furthermore, we present a small-sample test for the question of whether it is better to completely ignore time series information in favor of naive diversification.
- Language
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Englisch
- Bibliographic citation
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Series: Discussion Papers in Statistics and Econometrics ; No. 2/08
- Classification
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Wirtschaft
Estimation: General
Portfolio Choice; Investment Decisions
- Subject
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Covariance matrix estimation
Global minimum variance portfolio
James-Stein estimation
Naive diversification
Shrinkage estimator
- Event
-
Geistige Schöpfung
- (who)
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Frahm, Gabriel
Memmel, Christoph
- Event
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Veröffentlichung
- (who)
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University of Cologne, Seminar of Economic and Social Statistics
- (where)
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Cologne
- (when)
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2008
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Frahm, Gabriel
- Memmel, Christoph
- University of Cologne, Seminar of Economic and Social Statistics
Time of origin
- 2008
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