Before revision:  Conducting an extensive empirical analysis with three datasets based on the Russell 3000  , we show that 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 with three datasets based on the S , we show that 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.