In the present work I derive the risk functions of 5 standard estimators for expected asset returns which are frequently advocated in the literature, viz the sample mean vector, the James-Stein and Bayes-Stein estimator, the minimum-variance estimator, and the CAPM estimator. I resolve the...

In the present work I derive the risk functions of 5 standard estimators for expected asset returns which are frequently advocated in the literature, viz the sample mean vector, the James-Stein and Bayes-Stein estimator, the minimum-variance estimator, and the CAPM estimator. I resolve the...

This paper considers the problem of estimating a covariance matrix under Stein’s loss. Sufficient conditions for the modified Efron–Morris estimator to be minimax under weighted quadratic loss are shown, which provide a general method for improving the estimator of the covariance matrix.

Existing model averaging methods are generally based on ordinary least squares (OLS) estimators. However, it is well known that the James–Stein (JS) estimator dominates the OLS estimator under quadratic loss, provided that the dimension of coefficient is larger than two. Thus, we focus on...

In the context of a partially linear regression model, shrinkage semiparametric estimation is considered based on the Stein-rule. In this framework, the coefficient vector is partitioned into two sub-vectors: the first sub-vector gives the coefficients of interest, i.e., main effects (for...

In purchase situations where attribute information is either missing or difficult to judge, a well-known heuristic that consumers use to form evaluations is the halo effect. The psychology literature has widely considered the halo a reflection of consumers' inability to discriminate between...