Bertrand, Candelon; Christophe, Hurlin; Sessi, Tokpavi - Graduate School of Business and Economics (GSBE), … - 2011
Shrinkage estimators of the covariance matrix are known to improve the stability over time of the Global Minimum Variance Portfolio (GMVP), as they are less error-prone. However, the improvement over the empirical covariance matrix is not optimal for small values of n, the estimation sample...