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, 19-50

Keywords: Mean-variance optimal portfolio; Estimation risk; Parameter uncertainty; Asset allocation; Shrinkage estimator (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s10690-009-9100-x

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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