Dominating estimators for the global minimum variance portfolio
Year of publication: |
2008
|
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Authors: | Frahm, Gabriel ; Memmel, Christoph |
Publisher: |
Cologne : University of Cologne, Seminar of Economic and Social Statistics |
Subject: | Covariance matrix estimation | Global minimum variance portfolio | James-Stein estimation | Naive diversification | Shrinkage estimator |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 656254203 [GVK] hdl:10419/44946 [Handle] RePEc:zbw:ucdpse:208 [RePEc] |
Classification: | C13 - Estimation ; G11 - Portfolio Choice |
Source: |
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Dominating estimators for the global minimum variance portfolio
Frahm, Gabriel, (2009)
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Dominating estimators for the global minimum variance portfolio
Frahm, Gabriel, (2009)
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Dominating estimators for the global minimum variance portfolio
Frahm, Gabriel, (2008)
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Dominating estimators for theglobal minimum variance portfolio
Frahm, Gabriel, (2009)
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Dominating estimators for the global minimum variance portfolio
Frahm, Gabriel, (2009)
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Dominating estimators for the global minimum variance portfolio
Frahm, Gabriel, (2008)
- More ...