Honey I shrunk the weights (instead of the inputs!)

TLDR: This is a post about something that doesn't work. So don't read if you only care about cherry picked delightful backtests. This is my fifth post in a rapid fire intense series on portfolio optimisation. In my last post I looked at the optimal amount of shrinkage to use with real data, when running a bayesian methodology for mean variance optimisation. I found two things. Firstly, the optimal…