Felix Miebs

University of Applied Sciences Cologne

Claudiusstrasse 1

Cologne, 50678

United States

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Scholarly Papers (1)

1.

An Averaging Framework for Minimum-Variance Portfolios: Optimal Rules for Combining Portfolio Weights

Swiss Finance Institute Research Paper No. 24-10
Number of pages: 66 Posted: 02 Feb 2024 Last Revised: 13 Apr 2024
Swiss Finance Institute, Wiesbaden Business School, University of St. Gallen and University of Applied Sciences Cologne
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Abstract:

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Averaging; diversification; estimation error; portfolio optimization; shrinkage.