Dominating estimators for minimum-variance portfolios

By Gabriel Frahm, Christoph Memmel. 2010

123 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/80d897364b4b7317103eae5350e306cb36eb44a2

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In Finance

1. Francisco Javier Nogales
2. Alberto Martín-Utrera
3. Taras Bodnar
4. Nestor Parolya
5. Victor DeMiguel
6. Yarema Okhrin
7. Clifford Lam
8. Michael Wolf

Citations in the corpus

• Optimal Shrinkage-Based Portfolio Selection in High Dimensions (2016, methodology): “A similar technique is used by Frahm and Memmel (2010), who construct a feasible shrinkage estimator for the GMV portfolio which dominates the traditional one.”
• Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks (2017, unknown): “• FM: The dominating portfolio of Frahm and Memmel (2010).”
• Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection (2011, methodology): “3 Frahm and Memmel (2010) and Kourstis et al. (2011) also propose shrinkage estimators for the inverse covariance matrix. The difference between our approach and their approaches is that while Frahm and Memmel (2010) and Kourstis et al. (2011) calibrate their estimators to minimize the out-of-sample”