A Nonparametric Approach to Portfolio Shrinkage
(2020)
Journal Article
Han, C. (2020). A Nonparametric Approach to Portfolio Shrinkage. Journal of Banking and Finance, 120, Article 105953. https://doi.org/10.1016/j.jbankfin.2020.105953
This paper develops a shrinkage model for portfolio choice. It places a layer on a conventional portfolio problem where the optimal portfolio is shrunk towards a reference portfolio. The model can accommodate a wide range of portfolio problems with v... Read More about A Nonparametric Approach to Portfolio Shrinkage.