Arbeitspapier
On the estimation of the global minimum variance portfolio
Expected returns can hardly be estimated from time series data. Therefore, many recent papers suggest investing in the global minimum variance portfolio. The weights of this portfolio depend only on the return variances and covariances, but not on the expected returns. The weights of the global minimum variance portfolio are usually estimated by replacing the true return covariance matrix by its time series estimator. However, little is known about the distributions of the estimated weights and return parameters of this portfolio. Our contribution is to determine these distributions. The knowledge of these distributions allows us to calculate the extent of the estimation risk an investor faces and to answer important questions in asset management.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFR Working Paper ; No. 05-02
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Portfolio Choice; Investment Decisions
- Thema
-
Global Minimum Variance Portfolio
Weight Estimation
Estimation Risk
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kempf, Alexander
Memmel, Christoph
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Cologne, Centre for Financial Research (CFR)
- (wo)
-
Cologne
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 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
- Kempf, Alexander
- Memmel, Christoph
- University of Cologne, Centre for Financial Research (CFR)
Entstanden
- 2005
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