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 with four datasets based on the S , 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 .