In the field of risk management, it is of great importance to obtain an efficient portfolio when market participants invest in a variety of assets. In this study, we propose a simple double-shrinkage portfolio selection rule to improve the out-of-sample performance of the portfolio. The double-shrinkage portfolio is obtained by a convex combination between highly structured covariance matrices and sample covariance matrix. Using various real datasets we show that the proposed portfolio strategy is found to be comparatively stable and yields higher values of Sharpe-ratio and lower values of conditional value at risk. Thus, the double-shrinkage selection rule improves the performances of the portfolios significantly.

在风险管理领域，当市场参与者投资于多种资产时，获得有效的投资组合非常重要。在这项研究中，我们提出了一个简单的双收缩投资组合选择规则来提高投资组合的样本外表现。双收缩组合是通过高度结构化的协方差矩阵和样本协方差矩阵之间的凸组合获得的。使用各种真实数据集，我们表明所提出的投资组合策略相对稳定，并产生较高的夏普比率值和较低的条件风险价值值。因此，双缩水选择规则显着提高了投资组合的表现。