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Bayesian Shrinkage

•Philippe Jorion, Bayes-Stein Estimation for Portfolio Analysis , The Journal of Financial and Quantitative Analysis, Vol. 21, No. 3 (Sep., 1986), pp. 279-292

•Olivier Ledoit & Michael Wolf, 2003. "Honey, I Shrunk the Sample Covariance Matrix," Economics Working Papers 691, Department of Economics and Business, Universitat Pompeu Fabra.

•Olivier Ledoit, Michael Wolf, Improved Estimation of the Covariance Matrix of Stock returns with an application to portfolio selection, Journal of Empirical Finance, 10(5):603-621.

•Lorenzo Garlappi, Raman Uppal and Tan Wang, "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach", April, 2004.

•Walter Sun, Ayres Fan, Li-Wei Chen, Tom Schouwenaars, Marius A. Albota, Ed Freyfogle, Josh Grover, Optimal Rebalancing Strategy for Institutional Portfolios, MIT Working Paper. (Revised version published in Journal of Portfolio Management, Vol. 32, No. 2: (Winter 2006)33-43)

Non-informative Diffuse Prior
•Barry, Christopher B, 1974. "Portfolio Analysis under Uncertain Means, Variances, and Covariances," Journal of Finance, American Finance Association, vol. 29(2), pages 515-22, May.

•Klein, Roger W. & Bawa, Vijay S., 1976. "The effect of estimation risk on optimal portfolio choice," Journal of Financial Economics, Elsevier, vol. 3(3), pages 215-231, June.

Empirical Bayes-Stein Shrinkage Estimators
•Jobson, J. D., and R. Korkie, 1980, “Estimation for Markowitz Efficient Portfolios,” Journal of the American Statistical Association, 75, 544–554.

•Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," Journal of Business, University of Chicago Press, vol. 58(3), pages 259-78, July.

•Jorion P (1986) Bayes-Stein estimation for portfolio analysis, Journal of Financial and Quantitative Analysis, 21(3):279-292.

•Frost, P. A., and J. E. Savarino, 1986, “An Empirical Bayes Approach to Efficient Portfolio Selection,” Journal of Financial and Quantitative Analysis, 21, 293–305.

Data And Model Approach
•Lubos Pástor, 2000. "Portfolio Selection and Asset Pricing Models," Journal of Finance, American Finance Association, vol. 55(1), pages 179-223, 02.

•Luboš Pástor & Robert F. Stambaugh, 1999. "Comparing Asset Pricing Models: An Investment Perspective," CRSP working papers 497, Center for Research in Security Prices, Graduate School of Business, University of Chicago.

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