Arbeitspapier
Dominating estimators for the global minimum variance portfolio
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 are derived. 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 and also their large-sample properties for fixed d but n -> infinity as well as n,d -> infinity but n/d -> q <= infinity are investigated. Further, a small-sample test for the question whether it is better to completely ignore time series information in favor of naive diversification is presented.
- ISBN
-
978-3-86558-490-8
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series 2 ; No. 2009,01
- Klassifikation
-
Wirtschaft
Estimation: General
Portfolio Choice; Investment Decisions
- Thema
-
Covariance matrix estimation
global minimum variance portfolio
James-Stein estimation
naive diversification
shrinkage estimator
Portfolio-Management
Varianzanalyse
Schätztheorie
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Frahm, Gabriel
Memmel, Christoph
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 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
- Deutsche Bundesbank
Entstanden
- 2009
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