Reference health

Focused Shrinkage with an Application to Portfolio Choice

https://doi.org/10.2139/ssrn.2964494
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28/28 checkable references clean · checked 2026-08-07

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 28 checked references that resolve
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Admissible Minimax Estimation of a Multivariate Normal Mean with Arbitrary Quadratic Loss
resolves10.1016/0047-259x(76)90035-x
Minimax estimation of a multivariate normal mean under arbitrary quadratic loss
resolves10.1214/aos/1176345691
Selecting a Minimax Estimator of a Multivariate Normal Mean
resolves10.1214/aos/1176343898
Minimax Estimation of a Normal Mean Vector for Arbitrary Quadratic Loss and Unknown Covariance Matrix
resolves10.1214/aoms/1177699174
Estimating the Mean of a Multivariate Normal Population with General Quadratic Loss Function
resolves10.1214/aos/1176343009
Minimax Estimators of the Mean of a Multivariate Normal Distribution
resolves10.1198/016214503000000819
The Focused Information Criterion
resolves10.1287/mnsc.1080.0986
A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
resolves10.1016/j.jeconom.2008.09.017
High dimensional covariance matrix estimation using a factor model
resolves10.1080/01621459.2012.682825
Vast Portfolio Selection With Gross-Exposure Constraints
resolves10.1111/ectj.12061
An overview of the estimation of large covariance and precision matrices
resolves10.2307/1912358
Multicollinearity and the Minimax Conditions of the Bock Stein-like Estimator
resolves10.1111/jofi.12080
Dynamic Trading with Predictable Returns and Transaction Costs
resolves10.1515/9780691218632
Time Series Analysis
resolves10.1016/j.jeconom.2015.09.003
Efficient shrinkage in parametric models
resolves10.3386/w8922
Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
resolves10.2307/2526079
A Comparison of Traditional and Stein-Rule Estimators under Weighted Squared Error Loss
resolves10.2139/ssrn.2991992
Focused Shrinkage Estimators for the Global Minimum Variance Portfolio
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
resolves10.1111/j.1540-6261.1952.tb01525.x
PORTFOLIO SELECTION*
resolves10.1016/j.jfineco.2011.11.003
Time series momentum
resolves10.1016/s1573-4412(05)80005-4
Chapter 36 Large sample estimation and hypothesis testing
resolves10.1016/0047-259x(82)90020-3
Contracting towards subspaces when estimating the mean of a multivariate normal distribution
resolves10.2307/1267825
Shrinking Towards Subspaces in Multiple Linear Regression
resolves10.1002/9780471773757.ch4
Stein‐Type Estimation
resolves10.1080/01621459.1968.11009278
Improved Estimators for Coefficients in Linear Regression
resolves10.1017/cbo9780511802256
Asymptotic Statistics
The 2 references without a DOI — listed, not checked
no DOI — not checkedEstimation with Quadratic Loss
no DOI — not checkedAn Approach to the Recovery of Inter-Block Information in Balanced Incomplete Block Designs
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