Dominance of a class of Stein type estimators for optimal portfolio weights when the covariance matrix is unknown

DOI10.1007/S10690-009-9100-XMaRDI QIDQ2268394zbMATH OpenOpenAlexFDO

Authors Takuya Kinkawa, Nobuo Shinozaki

Publication date 8 March 2010

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-009-9100-x

zbMATH Keywords

asset allocationestimation riskmean-variance optimal portfolioparameter uncertaintyshrinkage estimator

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

Review text

The authors extend the class of Stein type estimators for the mean-variance optimal portfolio selection proposed in \textit{H. Mori} [J. Jap. Stat. Soc. 34, No.~1, Jap. Iss., 27--46 (2004; Zbl 1061.62173)] as follows. First, they introduce a general class of estimators given by Baranchik. Second, the authors consider estimators that shrink not only toward the origin but also toward an arbitrary fixed point. They show dominance results for the broader class of Stein type estimators when the covariance matrix is unknown and is estimated.

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Cites work

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Cited in

(2)

• Finite Sample Properties of Estimators for the Optimal Portfolio Weight
• The optimal portfolio weights using the proportional type estimators

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