How Much Should Portfolios Shrink?
(2019)
Journal Article
Han, C. (2020). How Much Should Portfolios Shrink?. Financial Management, 49(3), 707-740. https://doi.org/10.1111/fima.12282
This paper develops a portfolio model that penalizes the deviation from a reference portfolio. The proposed model renders a robust portfolio that performs superior under parameter uncertainty. Penalizing the deviation also improves the performance of... Read More about How Much Should Portfolios Shrink?.