Linear statistical inference for global and local minimum variance portfolios
نویسندگان
چکیده
منابع مشابه
Linear statistical inference for global and local minimum variance portfolios
Traditional portfolio optimization has been often criticized since it does not account for estimation risk. Theoretical considerations indicate that estimation risk is mainly driven by the parameter uncertainty regarding the expected asset returns rather than their variances and covariances. This is also demonstrated by several numerical studies. The global minimum variance portfolio has been a...
متن کاملDISCUSSION PAPERS IN STATISTICS AND ECONOMETRICS SEMINAR OF ECONOMIC AND SOCIAL STATISTICS UNIVERSITY OF COLOGNE No. 1/07 Linear Statistical Inference for Global and Local Minimum Variance Portfolios
Traditional portfolio optimization has often been criticized for not taking estimation risk into account. Estimation risk is mainly driven by the parameter uncertainty regarding the expected asset returns rather than their variances and covariances. The global minimum variance portfolio has been advocated by many authors as an appropriate alternative to the classical mean-variance optimal portf...
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ژورنال
عنوان ژورنال: Statistical Papers
سال: 2008
ISSN: 0932-5026,1613-9798
DOI: 10.1007/s00362-008-0170-z