Comparison of different estimation techniques for portfolio selection
DOI10.1007/S10182-007-0026-1zbMATH Open1331.62404OpenAlexW2031160779MaRDI QIDQ636161FDOQ636161
Authors: Yarema Okhrin, Wolfgang Schmid 
Publication date: 25 August 2011
Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)
Full work available at URL: https://opus.bibliothek.uni-augsburg.de/opus4/files/47547/47547.pdf
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Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
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- Modeling asset returns with alternative stable distributions*
- Estimation for Markowitz Efficient Portfolios
- Prediction and Decision Problems in Regression Models from the Bayesian Point of View
- Portfolio Analysis in a Stable Paretian Market
- Families of minimax estimators of the mean of a multivariate normal distribution
Cited In (22)
- Multiple tests for the performance of different investment strategies
- Bayesian estimation of the global minimum variance portfolio
- Portfolio Choice and Estimation Risk. A Comparison of Bayesian to Heuristic Approaches
- A risk perspective of estimating portfolio weights of the global minimum-variance portfolio
- Impact of error in parameter estimations on large scale portfolio optimization
- Optimal portfolio choice: a minimum expected loss approach
- On the equivalence of quadratic optimization problems commonly used in portfolio theory
- Title not available (Why is that?)
- Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it
- Dominance of a class of Stein type estimators for optimal portfolio weights when the covariance matrix is unknown
- On the exact distribution of the estimated expected utility portfolio weights: theory and applications
- The optimal portfolio weights using the proportional type estimators
- \(K\)-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance?
- Estimation of the optimal portfolio weights by shrinking the mean vector towards a linear subspace
- Approximating the time-weighted return: the case of flows at unknown time
- No-transaction bounds and estimation risk
- Performance of portfolios optimized with estimation error
- A generalized pivotal quantity approach to portfolio selection
- ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS
- Optimal portfolio selection using maximum entropy estimation accounting for the firm specific characteristics
- On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio
- Statistical inference of the efficient frontier for dependent asset returns
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