Statistical properties of estimators for the log-optimal portfolio

DOI10.1007/S00186-020-00701-1MaRDI QIDQ2216173zbMATH OpenOpenAlexFDO

Authors Gabriel Frahm

Publication date 15 December 2020

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00186-020-00701-1

zbMATH Keywords

best constant re-balanced portfolioestimation riskgrowth-optimal portfoliolog-optimal portfoliomean-variance optimization

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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• Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
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Cited in

(7)

• Relative utility bounds for empirically optimal portfolios
• Approximating the time-weighted return: the case of flows at unknown time
• Improved estimation of optimal portfolio with an application to the US stock market
• STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS
• Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood
• Iterative nonparametric estimation of a log-optimal portfolio selection function
• Zur optimalen schätzung des strukturparameters eines kollektivs einander ähnlicher kleiner bestände

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