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Dominance of a Class of Stein type Estimators for Optimal Portfolio Weights When the Covariance Matrix is Unknown

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  • Takuya Kinkawa

    ()

  • Nobuo Shinozaki

    ()

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File URL: http://hdl.handle.net/10.1007/s10690-009-9100-x
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Bibliographic Info

Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 17 (2010)
Issue (Month): 1 (March)
Pages: 19-50

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Handle: RePEc:kap:apfinm:v:17:y:2010:i:1:p:19-50

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Web page: http://springerlink.metapress.com/link.asp?id=102851

Related research

Keywords: Mean-variance optimal portfolio; Estimation risk; Parameter uncertainty; Asset allocation; Shrinkage estimator;

References

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  1. Jorion, Philippe, 1991. "Bayesian and CAPM estimators of the means: Implications for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 15(3), pages 717-727, June.
  2. Kan, Raymond & Zhou, Guofu, 2007. "Optimal Portfolio Choice with Parameter Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(03), pages 621-656, September.
  3. Ledoit, Olivier & Wolf, Michael, 2003. "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 603-621, December.
  4. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-78, July.
  5. Jorion, Philippe, 1986. "Bayes-Stein Estimation for Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(03), pages 279-292, September.
  6. Raman Uppal & Lorenzo Garlappi & Tan Wang, 2004. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," Money Macro and Finance (MMF) Research Group Conference 2004 54, Money Macro and Finance Research Group.
  7. Ledoit, Olivier & Wolf, Michael, 2004. "A well-conditioned estimator for large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 365-411, February.
  8. Zhenyu Wang, 2005. "A Shrinkage Approach to Model Uncertainty and Asset Allocation," Review of Financial Studies, Society for Financial Studies, vol. 18(2), pages 673-705.
  9. Vasyl Golosnoy & Yarema Okhrin, 2007. "Multivariate Shrinkage for Optimal Portfolio Weights," The European Journal of Finance, Taylor & Francis Journals, vol. 13(5), pages 441-458.
  10. Yarema Okhrin & Wolfgang Schmid, 2007. "Comparison of different estimation techniques for portfolio selection," AStA Advances in Statistical Analysis, Springer, vol. 91(2), pages 109-127, August.
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