Flexible shrinkage in portfolio selection

被引：17
|
作者：
Golosnoy, Vasyl [2 ]
Okhrin, Yarema [1 ]
机构：
[1] Univ Bern, Dept Econ, CH-3012 Bern, Switzerland
[2] Univ Kiel, Inst Stat & Econometr, D-24098 Kiel, Germany
来源：
JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2009年 / 33卷 / 02期
关键词：
Estimation risk and model uncertainty; k-means clustering; Model structure amount; Multivariate shrinkage estimator; VARIABLE SELECTION;
D O I：
10.1016/j.jedc.2008.06.003
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
How to quantify estimation risk is important in portfolio selection. For this purpose we derive the flexible shrinkage estimator for the optimal portfolio weights, which allows dynamic adjustments of model structure. Our estimator is based on grouping the assets in order to capture non-homogeneity of estimation risk. The assets are assigned to groups using a clustering procedure with the number of groups determined from the data. The proposed flexible shrinkage approach exhibits sound and robust performance compared to the popular portfolio selection alternatives. (C) 2008 Elsevier B.V. All rights reserved.
引用
收藏
页码：317 / 328
页数：12
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