Frahm, Gabriel and Memmel, Christoph ORCID: 0000-0001-7418-9457 (2010). Dominating estimators for minimum-variance portfolios. J. Econom., 159 (2). S. 289 - 303. LAUSANNE: ELSEVIER SCIENCE SA. ISSN 0304-4076

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Abstract

In this paper, we derive two shrinkage estimators for minimum-variance portfolios 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 assets d >= 4 and number of observations n >= d + 2. The small-sample properties of the shrinkage estimators as well as their large-sample properties for fixed d but n -> infinity and n, d -> infinity but n/d -> q <= infinity 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. (C) 2010 Elsevier B.V. All rights reserved.

Item Type: Journal Article
Creators:
CreatorsEmailORCIDORCID Put Code
Frahm, GabrielUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
Memmel, ChristophUNSPECIFIEDorcid.org/0000-0001-7418-9457UNSPECIFIED
URN: urn:nbn:de:hbz:38-491686
DOI: 10.1016/j.jeconom.2010.07.007
Journal or Publication Title: J. Econom.
Volume: 159
Number: 2
Page Range: S. 289 - 303
Date: 2010
Publisher: ELSEVIER SCIENCE SA
Place of Publication: LAUSANNE
ISSN: 0304-4076
Language: English
Faculty: Unspecified
Divisions: Unspecified
Subjects: no entry
Uncontrolled Keywords:
KeywordsLanguage
STEIN ESTIMATION; EXPECTED RETURN; SELECTION; RISK; MARKET; MODEL; COVARIANCES; UNCERTAINTY; PARAMETER; CHOICEMultiple languages
Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical MethodsMultiple languages
URI: http://kups.ub.uni-koeln.de/id/eprint/49168

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