Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix

By A. Kourtis, George Dotsis, Raphael N. Markellos. 2012

95 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/8cae8787209e1bd7de808c0f1598d633cc9cae9b

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. Alberto Martín-Utrera
2. Victor DeMiguel
3. Francisco Javier Nogales

In Finance

1. Francisco Javier Nogales
2. Alberto Martín-Utrera
3. Victor DeMiguel
4. Clifford Lam
5. Michael Wolf
6. Olivier Ledoit
7. Raman Uppal

In Management Science and Operations Research

1. Francisco Javier Nogales
2. Alberto Martín-Utrera
3. Victor DeMiguel
4. Clifford Lam
5. Michael Wolf
6. Olivier Ledoit

Citations in the corpus

• Sparse and Stable Portfolio Selection With Parameter Uncertainty (2015, unknown): “See, for example, DeMiguel, Garlappi, and Uppal (2009), DeMiguel et al. (2009), and Kourtis, Dotsis, and Markellos (2012).”
• Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection (2011, methodology): “This estimator is similar to those considered by Frahm and Memmel (2010) and Kourtis et al. (2012), but our contribution is to consider a different calibration criterion for the shrinkage intensity: the expected quadratic loss.”