Resampling vs. Shrinkage for Benchmarked Managers
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References listed on IDEAS
- Olivier Ledoit & Michael Wolf, 2003.
"Honey, I shrunk the sample covariance matrix,"
Economics Working Papers
691, Department of Economics and Business, Universitat Pompeu Fabra.
- Olivier Ledoit & Michael Wolf, 2003. "Honey, I Shrunk the Sample Covariance Matrix," Working Papers 92, Barcelona School of Economics.
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Cited by:
- Barros Fernandes, José Luiz & Haas Ornelas, José Renato & Martínez Cusicanqui, Oscar Augusto, 2012.
"Combining equilibrium, resampling, and analyst’s views in portfolio optimization,"
Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1354-1361.
- José Luis Barros Fernandes & José Renato Haas Ornelas & Oscar Augusto Martínez Cusicanqui, 2011. "Combining equilibrium, resampling, and analysts' views in portfolio optimization," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 75-84, Bank for International Settlements.
- Andras Niedermayer & Daniel Niedermayer, 2006.
"Applying Markowitz's Critical Line Algorithm,"
Diskussionsschriften
dp0602, Universitaet Bern, Departement Volkswirtschaft.
- Andras Niedermayer & Daniel Niedermayer, 2007. "Applying Markowitz's Critical Line Algorithm," Diskussionsschriften dp0701, Universitaet Bern, Departement Volkswirtschaft.
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More about this item
Keywords
Covariance matrix; Markowitz optimization; Resampling; Shrinkage; Tracking error;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2006-01-24 (Econometrics)
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