@techreport{Frahm2009Dominating,
abstract = {Two shrinkage estimators for the global minimum variance portfolio that dominate the traditional estimator with respect to the out-of-sample variance of the portfolio return are derived. The presented results hold for any number of observations n >= d 2 and number of assets d >= 4. The small-sample properties of the shrinkage estimators and also their large-sample properties for fixed d but n -> infinity as well as n,d -> infinity but n/d -> q <= infinity are investigated. Further, a small-sample test for the question whether it is better to completely ignore time series information in favor of naive diversification is presented.},
address = {Frankfurt am Main},
author = {Gabriel Frahm and Christoph Memmel},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
isbn = {978-3-86558-490-8},
keywords = {C13; G11; 330; Covariance matrix estimation; global minimum variance portfolio; James-Stein estimation; naive diversification; shrinkage estimator; Portfolio-Management; Varianzanalyse; Sch\"{a}tztheorie; Theorie},
language = {eng},
number = {2009,01},
publisher = {Deutsche Bundesbank},
title = {Dominating estimators for the global minimum variance portfolio},
type = {Discussion Paper Series 2: Banking and financial studies},
url = {http://hdl.handle.net/10419/27684},
year = {2009}
}

