Damjan Kostovic

OLZ AG

Gessnerallee 38

Zurich, Zurich 8001

Switzerland

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Learning the Shrinkage Intensity:

A Data-Driven Approach for Risk-Optimized Portfolios

Number of pages: 46 Posted: 20 May 2025 Last Revised: 19 Nov 2025

Gianluca De Nard and Damjan Kostovic

University of Zurich - Department of Economics and OLZ AG

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Damjan Kostovic

OLZ AG

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360

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Scholarly Papers (1)

Learning the Shrinkage Intensity: A Data-Driven Approach for Risk-Optimized Portfolios

Abstract:

Learning the Shrinkage Intensity:

A Data-Driven Approach for Risk-Optimized Portfolios