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Estimation of Optimal Portfolio Weights Using Shrinkage Technique
44/44 checkable references clean · checked 2026-07-25
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
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The 44 checked references that resolve
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More on Estimation Risk and Simple Rules for Optimal Portfolio Selection
resolves10.1214/aoms/1177697104
A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
resolves10.1214/aos/1176343356
Admissible Minimax Estimation of a Multivariate Normal Mean with Arbitrary Quadratic Loss
resolves10.1093/rfs/4.2.315
On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results
resolves10.1080/03610917808812081
The portfolio choice problem: comparison of certainty equivalence and optimal Bayes portfolios
resolves10.1016/0047-259x(87)90100-x
Employing vague prior information in the construction of confidence sets
resolves10.1111/j.1540-6261.1983.tb02284.x
Estimation Risk and Simple Rules for Optimal Portfolio Selection
resolves10.3905/jpm.1993.409440
The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice
resolves10.1214/aos/1176343344
Families of Minimax Estimators of the Mean of a Multivariate Normal Distribution
resolves10.1093/rfs/hhl003
Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
resolves10.1023/A:1012240609470
Applying Portfolio Change and Conditional Performance Measures: The Case of Industry Rotation via the Dynamic Investment Model
resolves10.1016/0378-4266(91)90094-3
Bayesian and CAPM estimators of the means: Implications for portfolio selection
resolves10.1023/A:1011488924784
An Improvement of the Parameter Certainty Equivalence Method in Portfolio Selection
resolves10.1007/bf02763003
An application of a minimax Bayes rule and shrinkage estimators to the portofolio selection problem under the Bayesian approach
resolves10.1080/02331880903348499
Estimation of the optimal portfolio weights by shrinking the mean vector towards a linear subspace
resolves10.1007/s10690-009-9100-x
Dominance of a Class of Stein type Estimators for Optimal Portfolio Weights When the Covariance Matrix is Unknown
resolves10.1016/0304-405x(77)90031-9
The effect of limited information and estimation risk on optimal portfolio diversification
resolves10.1016/s0927-5398(03)00007-0
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
resolves10.1016/s0047-259x(03)00096-4
A well-conditioned estimator for large-dimensional covariance matrices
resolves10.1214/aos/1193342390
Generalized Bayes Minimax Estimators of the Multivariate Normal Mean with Unknown Covariance Matrix
resolves10.1111/j.2517-6161.1962.tb00458.x
Confidence Sets for the Mean of a Multivariate Normal Distribution
resolves10.1007/s10182-007-0026-1
Comparison of different estimation techniques for portfolio selection
The 11 references without a DOI — listed, not checked
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no DOI — not checkedEstimation with quadratic loss
no DOI — not checkedImproved estimation for Markowitz portfolios using James-Stein type estimators
no DOI — not checkedref41
no DOI — not checkedref46
no DOI — not checkedref54
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