Behr, Patrick; Güttler, André; Miebs, Felix - Universität <Frankfurt, Main> / Lehrstuhl für … - 2010
We develop a shrinkage theory based framework for determining optimal port-folio weight constraints for minimum-variance portfolios in presence of parameteruncertainty. We propose to impose the set of constraints that yields the opti-mal trade-o between sampling error reduction and bias for the...