Uses of Sub-sample Estimates to Reduce Errors in Stochastic Optimization Models
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Ravi Jagannathan & Tongshu Ma, 2003.
"Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps,"
Journal of Finance, American Finance Association, vol. 58(4), pages 1651-1683, August.
- Ravi Jagannathan & Tongshu Ma, 2002. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," NBER Working Papers 8922, National Bureau of Economic Research, Inc.
- R. W. Conway, 1963. "Some Tactical Problems in Digital Simulation," Management Science, INFORMS, vol. 10(1), pages 47-61, October.
- Kan, Raymond & Zhou, Guofu, 2007. "Optimal Portfolio Choice with Parameter Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(3), pages 621-656, September.
- Andreas Eichhorn & Werner Römisch, 2007. "Stochastic Integer Programming: Limit Theorems and Confidence Intervals," Mathematics of Operations Research, INFORMS, vol. 32(1), pages 118-135, February.
- George S. Fishman, 1978. "Grouping Observations in Digital Simulation," Management Science, INFORMS, vol. 24(5), pages 510-521, January.
- Vishal Gupta & Paat Rusmevichientong, 2021. "Small-Data, Large-Scale Linear Optimization with Uncertain Objectives," Management Science, INFORMS, vol. 67(1), pages 220-241, January.
- Averill M. Law & John S. Carson, 1979. "A Sequential Procedure for Determining the Length of a Steady-State Simulation," Operations Research, INFORMS, vol. 27(5), pages 1011-1025, October.
- Ravi Jagannathan & Tongshu Ma, 2003.
"Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps,"
Journal of Finance,
American Finance Association, vol. 58(4), pages 1651-1684, August.
- Ravi Jagannathan & Tongshu Ma, 2002. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," NBER Working Papers 8922, National Bureau of Economic Research, Inc.
- Natalie M. Steiger & James R. Wilson, 2001. "Convergence Properties of the Batch Means Method for Simulation Output Analysis," INFORMS Journal on Computing, INFORMS, vol. 13(4), pages 277-293, November.
- Donald W. K. Andrews, 2000. "Inconsistency of the Bootstrap when a Parameter Is on the Boundary of the Parameter Space," Econometrica, Econometric Society, vol. 68(2), pages 399-406, March.
- L. Dai & C. H. Chen & J. R. Birge, 2000. "Convergence Properties of Two-Stage Stochastic Programming," Journal of Optimization Theory and Applications, Springer, vol. 106(3), pages 489-509, September.
- James E. Smith & Robert L. Winkler, 2006. "The Optimizer's Curse: Skepticism and Postdecision Surprise in Decision Analysis," Management Science, INFORMS, vol. 52(3), pages 311-322, March.
- Robert E. Bixby, 2002. "Solving Real-World Linear Programs: A Decade and More of Progress," Operations Research, INFORMS, vol. 50(1), pages 3-15, February.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Natalie M. Steiger & James R. Wilson, 2002. "An Improved Batch Means Procedure for Simulation Output Analysis," Management Science, INFORMS, vol. 48(12), pages 1569-1586, December.
- Wang, Christina Dan & Chen, Zhao & Lian, Yimin & Chen, Min, 2022. "Asset selection based on high frequency Sharpe ratio," Journal of Econometrics, Elsevier, vol. 227(1), pages 168-188.
- Füss, Roland & Miebs, Felix & Trübenbach, Fabian, 2014. "A jackknife-type estimator for portfolio revision," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 14-28.
- Hautsch, Nikolaus & Voigt, Stefan, 2019.
"Large-scale portfolio allocation under transaction costs and model uncertainty,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 221-240.
- Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-scale portfolio allocation under transaction costs and model uncertainty," CFS Working Paper Series 582, Center for Financial Studies (CFS).
- Nikolaus Hautsch & Stefan Voigt, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty," Papers 1709.06296, arXiv.org, revised Jun 2018.
- Hiraki, Kazuhiro & Sun, Chuanping, 2022. "A toolkit for exploiting contemporaneous stock correlations," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 99-124.
- Istvan Varga-Haszonits & Fabio Caccioli & Imre Kondor, 2016. "Replica approach to mean-variance portfolio optimization," Papers 1606.08679, arXiv.org.
- Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012. "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers 2012-35, Center for Research in Economics and Statistics.
- Thomas J. Brennan & Andrew W. Lo, 2010.
"Impossible Frontiers,"
Management Science, INFORMS, vol. 56(6), pages 905-923, June.
- Thomas J. Brennan & Andrew W. Lo, 2008. "Impossible Frontiers," NBER Working Papers 14525, National Bureau of Economic Research, Inc.
- Jonathan Fletcher, 2009. "Risk Reduction and Mean‐Variance Analysis: An Empirical Investigation," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(7‐8), pages 951-971, September.
- Thomas Trier Bjerring & Omri Ross & Alex Weissensteiner, 2017. "Feature selection for portfolio optimization," Annals of Operations Research, Springer, vol. 256(1), pages 21-40, September.
- Platanakis, Emmanouil & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Horses for courses: Mean-variance for asset allocation and 1/N for stock selection," European Journal of Operational Research, Elsevier, vol. 288(1), pages 302-317.
- Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2014. "$L_p$ regularized portfolio optimization," Papers 1404.4040, arXiv.org.
- Frahm, Gabriel & Memmel, Christoph, 2008.
"Dominating estimators for the global minimum variance portfolio,"
Discussion Papers in Econometrics and Statistics
2/08, University of Cologne, Institute of Econometrics and Statistics.
- Frahm, Gabriel & Memmel, Christoph, 2009. "Dominating estimators for the global minimum variance portfolio," Discussion Paper Series 2: Banking and Financial Studies 2009,01, Deutsche Bundesbank.
- Jiang, Julia & Liu, Jun & Tian, Weidong & Zeng, Xudong, 2022. "Portfolio concentration, portfolio inertia, and ambiguous correlation," Journal of Economic Theory, Elsevier, vol. 203(C).
- Ni, Xuanming & Zheng, Tiantian & Zhao, Huimin & Zhu, Shushang, 2023. "High-dimensional portfolio optimization based on tree-structured factor model," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).
- Lassance, Nathan & Vrins, Frédéric, 2023.
"Portfolio selection: A target-distribution approach,"
European Journal of Operational Research, Elsevier, vol. 310(1), pages 302-314.
- Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio Selection: A Target-Distribution Approach," LIDAM Discussion Papers LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).
- Lassance, Nathan & Vrins, Frédéric, 2023. "Portfolio selection: A target-distribution approach," LIDAM Reprints LFIN 2023004, Université catholique de Louvain, Louvain Finance (LFIN).
- Lan, Wei & Wang, Hansheng & Tsai, Chih-Ling, 2012. "A Bayesian information criterion for portfolio selection," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 88-99, January.
- Fotis Papailias & Dimitrios Thomakos, 2015.
"Covariance averaging for improved estimation and portfolio allocation,"
Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(1), pages 31-59, February.
- Dimitrios D. Thomakos & Fotis Papailias, 2013. "Covariance Averaging for Improved Estimation and Portfolio Allocation," Working Paper series 66_13, Rimini Centre for Economic Analysis.
- Moorman, Theodore, 2014. "An empirical investigation of methods to reduce transaction costs," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 230-246.
- N'Golo Kone, 2021. "Efficient mean-variance portfolio selection by double regularization," Working Paper 1453, Economics Department, Queen's University.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2310.07052. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.