Universal Portfolio Shrinkage

Clicks: 32
ID: 329953
2026
Free PDF
Article Quality & Performance Metrics
Overall Quality
Not rated
Combines reader engagement with the AI quality analysis. This article has not been analysed, so there is no overall score — reader engagement is measured and shown alongside.
AI Quality Assessment
Not analyzed
Readership in this journal
Emerging

Ranked #61 of 209 articles by views in review of financial studies

Most read Least read

Bar heights use a square-root scale. Only the 120 most-read articles are drawn; the journal has 209 in total.

Mint this article as an NFT
Not yet minted

Create a permanent, verifiable on-chain record of this article on the Scimatic Network. The NFT is held in your Journament account, and you can withdraw it to your own wallet at any time.

5 SUSD one-off · no wallet required
Sign in to mint
Abstract
Abstract We introduce a nonlinear covariance shrinkage method for building optimal portfolios. Our universal portfolio shrinkage approximator (UPSA) is built from closed-form basis portfolios, is cheap to implement, and improves on existing shrinkage methods. Rather than uniformly penalizing all principal components of returns or discarding low-variance ones, UPSA instead reweights components to explicitly optimize expected out-of-sample portfolio performance. In empirical applications using a large cross-section of anomaly factors, it delivers robust improvements over alternative shrinkage methods in the literature.
Reference Key
openalex_W7214456038 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Bryan Kelly, Semyon Malamud, Mo Pourmohammadi, Fabio Trojani
Are you one of these authors? Claim your profile
Journal review of financial studies
Year 2026
DOI
10.1093/rfs/hhag084
URL
https://doi.org/10.1093/rfs/hhag084
Keywords Keywords not found

Citations

No citations found. To add a citation, contact the admin at info@scimatic.org

Comments

No comments yet. Be the first to comment on this article.