ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS

DOI10.1142/S0219024908004798MaRDI QIDQ3520338zbMATH OpenFDO

Authors Yarema Okhrin, Wolfgang Schmid

Publication date 26 August 2008

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024908004798

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

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• Shrinkage estimation of mean-variance portfolio
• Finite Sample Properties of Estimators for the Optimal Portfolio Weight
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Cites work

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• Distributional properties of portfolio weights
• Families of minimax estimators of the mean of a multivariate normal distribution
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• Modeling asset returns with alternative stable distributions^*

Cited in

(18)

• Determination and estimation of risk aversion coefficients
• On the impact of conditional expectation estimators in portfolio theory
• A risk perspective of estimating portfolio weights of the global minimum-variance portfolio
• Flexible shrinkage in portfolio selection
• Estimation of optimal portfolio weights under parameter uncertainty and user-specified constraints: a perturbation method
• On the equivalence of quadratic optimization problems commonly used in portfolio theory
• Distributional properties of portfolio weights
• Shrinkage estimation of mean-variance portfolio
• Estimation of optimal portfolio compositions for Gaussian returns
• Optimal portfolio selection using maximum entropy estimation accounting for the firm specific characteristics
• Finite Sample Properties of Estimators for the Optimal Portfolio Weight
• scientific article; zbMATH DE number 6766521 (Why is no real title available?)
• Estimation of the optimal portfolio weights by shrinking the mean vector towards a linear subspace
• Portfolio optimization when expected stock returns are determined by exposure to risk
• Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
• Comparison of different estimation techniques for portfolio selection
• On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio
• An application of a minimax Bayes rule and shrinkage estimators to the portfolio selection problem under the Bayesian approach

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