Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio
In this paper, new results in random matrix theory are derived which allow us to construct a shrinkage estimator of the global minimum variance (GMV) portfolio when the shrinkage target is a random object. More specifically, the shrinkage target is determined as the holding portfolio estimated from previous data. The …