| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5084432 | International Review of Financial Analysis | 2017 | 34 Pages |
Abstract
In this paper, we correct the adverse impact of estimation risk on both portfolio weights and performance with two new equity allocation methods we implement with estimation-free and estimated ex-ante returns. Portfolios with estimation-free ex-ante returns and systematic-to-unsystematic risk weights have statistically higher Sharpe ratios than both similar portfolios with estimated ex-ante returns and 1/Nâ²th portfolios. Optimal portfolio methods with well-behaved weights guide investors in a way not hitherto possible (normative portfolio theory).
Related Topics
Social Sciences and Humanities
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Economics and Econometrics
Authors
Yufen Fu, George W. Blazenko,