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On The Unbiased Estimator Of The Efficient Frontier

Author

Listed:
  • OLHA BODNAR

    (Department of Statistics, European University Viadrina, P. O. Box 1786, Frankfurt (Oder), 15207, Germany)

  • TARAS BODNAR

    (Department of Statistics, European University Viadrina, P. O. Box 1786, Frankfurt (Oder), 15207, Germany)

Abstract

In the paper, we derive an unbiased estimator of the efficient frontier. It is shown that the suggested estimator corrects the overoptimism of the sample efficient frontier documented in Siegel and Woodgate (2007). Moreover, an exact F-test on the efficient frontier is presented.

Suggested Citation

  • Olha Bodnar & Taras Bodnar, 2010. "On The Unbiased Estimator Of The Efficient Frontier," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(07), pages 1065-1073.
    • Handle: RePEc:wsi:ijtafx:v:13:y:2010:i:07:n:s021902491000611x
    DOI: 10.1142/S021902491000611X
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    Citations

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    Cited by:

    1. Taras Bodnar & Holger Dette & Nestor Parolya & Erik Thors'en, 2019. "Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions," Papers 1908.04243, arXiv.org, revised Apr 2023.
    2. Taras Bodnar & Mathias Lindholm & Vilhelm Niklasson & Erik Thors'en, 2020. "Bayesian Quantile-Based Portfolio Selection," Papers 2012.01819, arXiv.org.
    3. Taras Bodnar & Solomiia Dmytriv & Yarema Okhrin & Nestor Parolya & Wolfgang Schmid, 2020. "Statistical inference for the EU portfolio in high dimensions," Papers 2005.04761, arXiv.org.
    4. Bodnar, Taras & Lindholm, Mathias & Niklasson, Vilhelm & Thorsén, Erik, 2022. "Bayesian portfolio selection using VaR and CVaR," Applied Mathematics and Computation, Elsevier, vol. 427(C).
    5. Bodnar, Olha & Bodnar, Taras & Parolya, Nestor, 2022. "Recent advances in shrinkage-based high-dimensional inference," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
    6. David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2021. "Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty," Quantitative Finance, Taylor & Francis Journals, vol. 21(2), pages 221-242, February.

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