Flexible Shrinkage In Portfolio Selection

Vasyl Golosnoy; Yarema Okhrin

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Flexible Shrinkage In Portfolio Selection

机译：灵活收缩投资组合选择

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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.

机译：在投资组合选择中，如何量化估计风险很重要。为此，我们导出了用于最佳投资组合权重的弹性收缩估算器，该模型可以动态调整模型结构。我们的估算器基于对资产进行分组，以捕获估算风险的非均质性。使用聚类过程将资产分配给组，并根据数据确定组的数量。与流行的投资组合选择方案相比，所提出的灵活收缩方法显示出稳健的性能。

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来源
《Journal of Economic Dynamics and Control》 |2009年第2期|p.317-328|共12页
作者
Vasyl Golosnoy; Yarema Okhrin;
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作者单位

Institute of Statistics and Econometrics, University of Kiel, Germany;

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原文格式 PDF
正文语种 eng
中图分类 f;
关键词
estimation risk and model uncertainty; k-means clustering; model structure amount; multivariate shrinkage estimator;

机译：估计风险和模型不确定性;k均值聚类;模型结构量;多元收缩估计;

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Flexible Shrinkage In Portfolio Selection

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