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Comparison of different estimation techniques for portfolio selection

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Author Info
Yarema Okhrin ()
Wolfgang Schmid ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s10182-007-0026-1
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Publisher Info
Article provided by Springer in its journal AStA Advances in Statistical Analysis.

Volume (Year): 91 (2007)
Issue (Month): 2 (August)
Pages: 109-127
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Handle: RePEc:spr:alstar:v:91:y:2007:i:2:p:109-127

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Related research
Keywords: Portfolio analysis; Mean-variance analysis; Estimation of portfolio weights; Shrinkage estimation;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  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. [Downloadable!] (restricted)
  2. Okhrin, Yarema & Schmid, Wolfgang, 2006. "Distributional properties of portfolio weights," Journal of Econometrics, Elsevier, vol. 134(1), pages 235-256, September. [Downloadable!] (restricted)
  3. Nicholas Barberis, 2000. "Investing for the Long Run when Returns Are Predictable," Journal of Finance, American Finance Association, vol. 55(1), pages 225-264, 02. [Downloadable!] (restricted)
  4. Stefan Mittnik & Svetlozar Rachev, 1993. "Modeling asset returns with alternative stable distributions," Econometric Reviews, Taylor and Francis Journals, vol. 12(3), pages 261-330. [Downloadable!] (restricted)
  5. 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. [Downloadable!] (restricted)
  6. Mark Britten-Jones, 1999. "The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights," Journal of Finance, American Finance Association, vol. 54(2), pages 655-671, 04. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Wolfgang Schmid & Taras Zabolotskyy, 2008. "On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio," AStA Advances in Statistical Analysis, Springer, vol. 92(1), pages 29-34, February. [Downloadable!] (restricted)
  2. Taras Bodnar & Wolfgang Schmid & Taras Zabolotskyy, 2009. "Statistical inference of the efficient frontier for dependent asset returns," Statistical Papers, Springer, vol. 50(3), pages 593-604, June. [Downloadable!] (restricted)
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This page was last updated on 2009-11-25.

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