Dominance of a Class of Stein type Estimators for Optimal Portfolio Weights When the Covariance Matrix is Unknown
Takuya Kinkawa () and
Nobuo Shinozaki ()
Asia-Pacific Financial Markets, 2010, vol. 17, issue 1, pages 19-50
Keywords: Mean-variance optimal portfolio; Estimation risk; Parameter uncertainty; Asset allocation; Shrinkage estimator (search for similar items in EconPapers)
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