Equal-Weighted Averaging of Portfolio Weights Generated by Different Shrinkage Methods Fails to Outperform Single Shrinkage Approaches Across Multiple In-Sample and Out-of-Sample Backtests

The author examines the effect of equal-weighted averaging of portfolio weights generated by different shrinkage methods in the Portfolio Optimization Series, comparing 9 shrinkage parameter combinations with 6 weight averaging combinations, totaling 15 approaches. The backtests use randomly selected 9 trading rules and random instruments, with 1-, 5-, and 10-year in-sample periods and 1- and 5-year out-of-sample periods, each group containing 4,000 random portfolios.