I think the shield connected at one end is best, it takes the shield out of the signal path and the shield doesn't do triple duty as signal return, ground connection + shield. The main idea is the shield is connected on the sending end so any noise picked up by the shield doesn't make it to the next component.
In some circumstances you may have better results with the shield connected at both ends, especially if the ground wire is small. Reducing resistance reduces noise voltage as a result of potential differences between component grounds, Ohm's law is V=IR, reduce R, V is reduced as well. Hopefully I is small to begin with, if it is then reducing R may not make much of a difference. But in any case, it's best to reduce R. I do this by making the ground leg much larger than the signal leg and then add shielding if necessary. 99.9% of the time shielding isn't needed with short cables in home systems, it just adds capacitance and dulls the sound. I'd be willing to bet a simple twisted pair of 24g UPOCC copper/teflon would beat out any of the Belden cables easily.