Estimation methods in portfolio selection and the effectiveness of short sales restrictions: UK evidence

JLG Board, CMS Sutcliffe - Management science, 1994 - pubsonline.informs.org
Forecasting the mean returns vector and the covariance matrix is a key feature in
implementing portfolio theory. The performance of the Bayes-Stein method for forecasting …

Handling uncertainty through confidence intervals in portfolio optimization

E Solares, CAC Coello, E Fernandez… - Swarm and evolutionary …, 2019 - Elsevier
The approach proposed here uses evolutionary algorithms combined with interval analysis
to optimize the allocation of resources in portfolio optimization. The proposal uses …

Performance of portfolios optimized with estimation error

AF Siegel, A Woodgate - Management Science, 2007 - pubsonline.informs.org
We explain the poor out-of-sample performance of mean-variance optimized portfolios,
developing theoretical bias adjustments for estimation risk by asymptotically expanding …

[HTML][HTML] Using stochastic frontier analysis instead of data envelopment analysis in modelling investment performance

JD Lamb, KH Tee - Annals of Operations Research, 2024 - Springer
We introduce methods to apply stochastic frontier analysis (SFA) to financial assets as an
alternative to data envelopment analysis, because SFA allows us to fit a frontier with noisy …

Performance of currency portfolios chosen by a Bayesian technique: 1967–1985

B Dumas - Journal of Banking & Finance, 1990 - Elsevier
This paper is about normative currency portfolio rules. It assumes logarithmic investors who
maximize the expected utility from lognormal currency returns with and without short sales …

Reduction of estimation risk in optimal portfolio choice using redundant constraints

L Chavez-Bedoya, F Rosales - International Review of Financial Analysis, 2021 - Elsevier
It is well known that when the moments of the distribution governing returns are estimated
from sample data, the out-of-sample performance of the optimal solution of a mean–variance …

Land allocation in the presence of estimation risk

SH Lence, DJ Hayes - Journal of Agricultural and Resource Economics, 1995 - JSTOR
Estimation risk occurs when parameters relevant for decision making are uncertain. Bayes'
criterion is consistent with expected-utility maximization in the presence of estimation risk …

[HTML][HTML] A risk perspective of estimating portfolio weights of the global minimum-variance portfolio

T Holgersson, P Karlsson, A Stephan - AStA Advances in Statistical …, 2020 - Springer
The problem of how to determine portfolio weights so that the variance of portfolio returns is
minimized has been given considerable attention in the literature, and several methods …

Diversification strategies: Do limited data constrain investors?

I Murtazashvili, N Vozlyublennaia - Journal of Financial …, 2013 - Wiley Online Library
We demonstrate that the mean–variance optimal portfolio does not outperform (out of
sample) the naive 1/N diversification strategy even if securities are grouped into indexes or …

[BOOK][B] Die Schätzung erwarteter Renditen in der modernen Kapitalmarkttheorie

MM Hagemeister - 2010 - Springer
Die vorliegende Dissertation ist im Rahmen meiner Tätigkeit als wissenschaftliche
Mitarbeiterin am Seminar für Finanzierungslehre der Universität zu Köln entstanden …