Arbeitspapier
Dominating estimators for the global minimum variance portfolio
In this paper, we derive two shrinkage estimators for the global minimum variance portfolio that dominate the traditional estimator with respect to the out-of-sample variance of the portfolio return. The presented results hold for any number of observations n ≥ d + 2 and number of assets d ≥ 4 . The small-sample properties of the shrinkage estimators as well as their large-sample properties for fixed d but n → ∞ as well as n/d → ∞ but n/d → q ≤ ∞ are investigated. Furthermore, we present a small-sample test for the question of whether it is better to completely ignore time series information in favor of naive diversification.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Papers in Statistics and Econometrics ; No. 2/08
- Klassifikation
-
Wirtschaft
Estimation: General
Portfolio Choice; Investment Decisions
- Thema
-
Covariance matrix estimation
Global minimum variance portfolio
James-Stein estimation
Naive diversification
Shrinkage estimator
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Frahm, Gabriel
Memmel, Christoph
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Cologne, Seminar of Economic and Social Statistics
- (wo)
-
Cologne
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Frahm, Gabriel
- Memmel, Christoph
- University of Cologne, Seminar of Economic and Social Statistics
Entstanden
- 2008
Ähnliche Objekte (12)
Dominating estimators for the global minimum variance portfolio
Predicting the global minimum variance portfolio
Bayesian estimation of the global minimum variance portfolio
On the estimation of the global minimum variance portfolio
Linear statistical inference for global and local minimum variance portfolios
Robust covariance estimators for mean-variance portfolio optimization with transaction lots
Variance reduction with multilevel estimators
Boundaries of the risk aversion coefficient: should we invest in the global minimum variance portfolio?
The performance of minimum variance portfolios in the Croatian tourism sector
Minimum variance portfolio in ASEAN-6 stock markets diversification: A Vietnamese perspective
Portfolios dominating indices: Optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios
The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators
Dominating estimators for the global minimum variance portfolio
Predicting the global minimum variance portfolio
Bayesian estimation of the global minimum variance portfolio
On the estimation of the global minimum variance portfolio
Linear statistical inference for global and local minimum variance portfolios
Robust covariance estimators for mean-variance portfolio optimization with transaction lots
Variance reduction with multilevel estimators
Boundaries of the risk aversion coefficient: should we invest in the global minimum variance portfolio?
The performance of minimum variance portfolios in the Croatian tourism sector
Minimum variance portfolio in ASEAN-6 stock markets diversification: A Vietnamese perspective
Portfolios dominating indices: Optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios
The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators
Dominating estimators for the global minimum variance portfolio
Predicting the global minimum variance portfolio
Bayesian estimation of the global minimum variance portfolio
On the estimation of the global minimum variance portfolio
Linear statistical inference for global and local minimum variance portfolios
Robust covariance estimators for mean-variance portfolio optimization with transaction lots
Variance reduction with multilevel estimators
Boundaries of the risk aversion coefficient: should we invest in the global minimum variance portfolio?
The performance of minimum variance portfolios in the Croatian tourism sector
Minimum variance portfolio in ASEAN-6 stock markets diversification: A Vietnamese perspective
Portfolios dominating indices: Optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios