Finite Sample Properties of Estimators for the Optimal Portfolio Weight

DOI10.14490/JJSS.34.27MaRDI QIDQ4661427zbMATH OpenOpenAlexFDO

Authors Harunori Mori

Publication date 4 April 2005

Published in JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL https://doi.org/10.14490/jjss.34.27

zbMATH Keywords

portfolio selectionmean-variance modelsimultaneous estimationrisky assets

Mathematics Subject Classification ID

Quadratic programming (90C20) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90) Statistical decision theory (62C99)

Recommendations

• Dominance of a class of Stein type estimators for optimal portfolio weights when the covariance matrix is unknown
• Statistical estimation of optimal portfolios for Gaussian dependent returns of assets
• The optimal portfolio weights using the proportional type estimators
• ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS
• Estimation of the optimal portfolio weights by shrinking the mean vector towards a linear subspace

Cited in

(18)

• Theoretical and empirical estimates of mean-variance portfolio sensitivity
• On the mean and variance of the estimated tangency portfolio weights for small samples
• STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS
• Estimation of optimal portfolio weights under parameter uncertainty and user-specified constraints: a perturbation method
• Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
• Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
• Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood
• Robust portfolios: contributions from operations research and finance
• Dominance of a class of Stein type estimators for optimal portfolio weights when the covariance matrix is unknown
• Zur optimalen schätzung des strukturparameters eines kollektivs einander ähnlicher kleiner bestände
• The optimal portfolio weights using the proportional type estimators
• Estimation of the optimal portfolio weights by shrinking the mean vector towards a linear subspace
• Finite sample properties of test of Epstein-Zin asset pricing model
• Distributional properties of portfolio weights
• Statistical inference procedure for the mean-variance efficient frontier with estimated parameters
• Statistical properties of estimators for the log-optimal portfolio
• ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS
• On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio

This page was built for publication: Finite Sample Properties of Estimators for the Optimal Portfolio Weight

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4661427)