Impact of error in parameter estimations on large scale portfolio optimization

DOI10.1007/978-3-030-12767-1_9MaRDI QIDQ2337598zbMATH OpenOpenAlexFDO

Authors Sergey V. Slashchinin, Valery A. Kalyagin

Publication date 20 November 2019

Full work available at URL https://doi.org/10.1007/978-3-030-12767-1_9

zbMATH Keywords

covariance matrixestimation errorsmean variance optimizationportfolio optimizationshrinkage estimators

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonlinear programming (90C30) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

Recommendations

• The effect of estimation in high-dimensional portfolios
• Performance of portfolios optimized with estimation error
• Large-Scale Portfolio Optimization
• Sensitivity to estimation errors in mean-variance models
• Comparison of different estimation techniques for portfolio selection

Cited in

(3)

• The effect of estimation in high-dimensional portfolios
• The effects of errors in means, variances, and correlations on the mean-variance framework
• Divergent estimation error in portfolio optimization and in linear regression

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