Multivariate Shrinkage for Optimal Portfolio Weights

By Vasyl Golosnoy, Yarema Okhrin. 2007

78 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/09ee95cfa2649e84b1540c7f5ae66158a02bcce6

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Taras Bodnar
2. Christoph Memmel
3. Yarema Okhrin
4. Gabriel Frahm

In Finance

1. Taras Bodnar
2. Nestor Parolya
3. Yarema Okhrin
4. Gabriel Frahm
5. Christoph Memmel
6. M. Janga Reddy
7. Poulomi Ganguli

Citations in the corpus

• Optimal Shrinkage-Based Portfolio Selection in High Dimensions (2016, background): “Golosnoy and Okhrin (2007) consider the multivariate shrinkage estimator by shrinking the portfolios with and without the riskless asset to an arbitrary static portfolio.”
• Dominating estimators for minimum-variance portfolios (2010, background): “Furthermore, DeMiguel et al. (2009), Garlappi et al. (2007), Golosnoy and Okhrin (2007) as well as Kan and Zhou (2007) present some shrinkage estimators for the weights of mean-variance optimal portfolios, whereas Ledoit and Wolf (2003) introduce a shrinkage estimator for the covariance matrix of…”