کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096751 1376548 2010 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Dominating estimators for minimum-variance portfolios
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Dominating estimators for minimum-variance portfolios
چکیده انگلیسی
In this paper, we derive two shrinkage estimators for minimum-variance portfolios that dominate the traditional estimator with respect to the out-of-sample variance of the portfolio return. The presented results hold for any number of assets d≥4 and number of observations n≥d+2. The small-sample properties of the shrinkage estimators as well as their large-sample properties for fixed d but n→∞ and n,d→∞ but n/d→q≤∞ are investigated. Furthermore, we present a small-sample test for the question of whether it is better to completely ignore time series information in favor of naive diversification.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 159, Issue 2, December 2010, Pages 289-302
نویسندگان
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