Size matters: Optimal calibration of shrinkage estimators for portfolio selection

Journal

Journal of Banking and Finance

Subject

Management Science and Operations

Publishing details

Journal of Banking and Finance 2013 Vol 37:8 p 3018-3034

Authors / Editors

DeMiguel V; Martin-Utrera A; Nogales F J

Biographies

DeMiguel V

Publication Year

2013

Keywords

Portfolio choice; Estimation error; Shrinkage intensity; Out-of-sample evaluation; Bootstrap