Shrinkage Estimators for Mean and Covariance: Evidence on Portfolio Efficiency Across Market Dimensions

By Rupendra Yadav, Amita Sharma, Aparna Mehra

Published 2026-01-28

Everscope rating

1363.1

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Shrinkage-based Mean-Variance and Global Minimum-Variance Portfolio Optimization with Super-Efficiency DEA Ranking. Problem types: Portfolio Optimization, Risk Management, Optimization, Ranking, Density Estimation.

arXiv:2601.20643 · Code · Paper rankings

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