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Behr, Patrick; Guettler, Andre; Miebs, Felix
Journal of banking & finance, April 2013, 2013-4-00, 20130401, Letnik: 37, Številka: 4Journal Article
► We propose a constrained minimum-variance portfolio strategy. ► New strategy is based on a shrinkage theory based framework. ► Our policy improves the performance of the benchmark strategies substantially. ► Turnover and short interest are only moderately increased. ► We validate our strong performance with established bootstrap methods. We reassess the recent finding that no established portfolio strategy outperforms the naively diversified portfolio, 1/N, by developing a constrained minimum-variance portfolio strategy on a shrinkage theory based framework. Our results show that our constrained minimum-variance portfolio yields significantly lower out-of-sample variances than many established minimum-variance portfolio strategies. Further, we observe that our portfolio strategy achieves higher Sharpe ratios than 1/N, amounting to an average Sharpe ratio increase of 32.5% across our six empirical datasets. We find that our constrained minimum-variance strategy is the only strategy that achieves the goal of improving the Sharpe ratio of 1/N consistently and significantly. At the same time, our developed portfolio strategy achieves a comparatively low turnover and exhibits no excessive short interest.
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