Estimation methods in portfolio selection and the effectiveness of short sales restrictions: UK evidence
JLG Board, CMS Sutcliffe - Management science, 1994 - pubsonline.informs.org
Forecasting the mean returns vector and the covariance matrix is a key feature in
implementing portfolio theory. The performance of the Bayes-Stein method for forecasting …
implementing portfolio theory. The performance of the Bayes-Stein method for forecasting …
Handling uncertainty through confidence intervals in portfolio optimization
The approach proposed here uses evolutionary algorithms combined with interval analysis
to optimize the allocation of resources in portfolio optimization. The proposal uses …
to optimize the allocation of resources in portfolio optimization. The proposal uses …
Performance of portfolios optimized with estimation error
AF Siegel, A Woodgate - Management Science, 2007 - pubsonline.informs.org
We explain the poor out-of-sample performance of mean-variance optimized portfolios,
developing theoretical bias adjustments for estimation risk by asymptotically expanding …
developing theoretical bias adjustments for estimation risk by asymptotically expanding …
[HTML][HTML] Using stochastic frontier analysis instead of data envelopment analysis in modelling investment performance
We introduce methods to apply stochastic frontier analysis (SFA) to financial assets as an
alternative to data envelopment analysis, because SFA allows us to fit a frontier with noisy …
alternative to data envelopment analysis, because SFA allows us to fit a frontier with noisy …
Performance of currency portfolios chosen by a Bayesian technique: 1967–1985
B Dumas - Journal of Banking & Finance, 1990 - Elsevier
This paper is about normative currency portfolio rules. It assumes logarithmic investors who
maximize the expected utility from lognormal currency returns with and without short sales …
maximize the expected utility from lognormal currency returns with and without short sales …
Reduction of estimation risk in optimal portfolio choice using redundant constraints
L Chavez-Bedoya, F Rosales - International Review of Financial Analysis, 2021 - Elsevier
It is well known that when the moments of the distribution governing returns are estimated
from sample data, the out-of-sample performance of the optimal solution of a mean–variance …
from sample data, the out-of-sample performance of the optimal solution of a mean–variance …
Land allocation in the presence of estimation risk
Estimation risk occurs when parameters relevant for decision making are uncertain. Bayes'
criterion is consistent with expected-utility maximization in the presence of estimation risk …
criterion is consistent with expected-utility maximization in the presence of estimation risk …
[HTML][HTML] A risk perspective of estimating portfolio weights of the global minimum-variance portfolio
T Holgersson, P Karlsson, A Stephan - AStA Advances in Statistical …, 2020 - Springer
The problem of how to determine portfolio weights so that the variance of portfolio returns is
minimized has been given considerable attention in the literature, and several methods …
minimized has been given considerable attention in the literature, and several methods …
Diversification strategies: Do limited data constrain investors?
I Murtazashvili, N Vozlyublennaia - Journal of Financial …, 2013 - Wiley Online Library
We demonstrate that the mean–variance optimal portfolio does not outperform (out of
sample) the naive 1/N diversification strategy even if securities are grouped into indexes or …
sample) the naive 1/N diversification strategy even if securities are grouped into indexes or …
[BOOK][B] Die Schätzung erwarteter Renditen in der modernen Kapitalmarkttheorie
MM Hagemeister - 2010 - Springer
Die vorliegende Dissertation ist im Rahmen meiner Tätigkeit als wissenschaftliche
Mitarbeiterin am Seminar für Finanzierungslehre der Universität zu Köln entstanden …
Mitarbeiterin am Seminar für Finanzierungslehre der Universität zu Köln entstanden …