Before revision:  Conducting an extensive empirical analysis   , we show how the data-driven choice of specific tuning parameters with the proposed cross-validation improves the out-of-sample performance of the global minimum-variance portfolio  .
After revision:  Conducting an extensive empirical analysis , we show how the data-driven choice of specific tuning parameters with the proposed cross-validation improves the out-of-sample performance of the global minimum-variance portfolio . In addition, we identify estimators that are strongly influenced by the choice of the tuning parameter and detect a clear relationship between the selection criterion within the cross-validation and the evaluated performance measure .