Dominating estimators for minimum-variance portfolios

Publication date

2010-08-06

Document type

Forschungsartikel

Author

Memmel, Christoph

Organisational unit

University of Cologne

DOI

URI

Scopus ID

Publisher

Elsevier

Series or journal

Journal of Econometrics

ISSN

Periodical volume

159

Periodical issue

2

First page

289

Last page

302

Part of the university bibliography

Nein

Language

English

Keyword

Covariance matrix estimation

Minimum-variance portfolio

Naive diversification

Shrinkage estimator

Stein estimation

Version

Published version

Access right on openHSU

Metadata only access