Estimation Risk and Optimal Portfolio Choice
Title | Estimation Risk and Optimal Portfolio Choice PDF eBook |
Author | S. J. Brown |
Publisher | |
Pages | 26 |
Release | 1977 |
Genre | |
ISBN |
Estimation Risk and Portfolio Choice
Title | Estimation Risk and Portfolio Choice PDF eBook |
Author | James Edward Savarino |
Publisher | |
Pages | 120 |
Release | 1983 |
Genre | Investments |
ISBN |
Incorporating Estimation Risk in Portfolio Choice
Title | Incorporating Estimation Risk in Portfolio Choice PDF eBook |
Author | Jenke Rien Horst |
Publisher | |
Pages | 0 |
Release | 2000 |
Genre | |
ISBN |
Incorporating Estimation Risk in Portfolio Choice
Title | Incorporating Estimation Risk in Portfolio Choice PDF eBook |
Author | Jenke R. ter Horst |
Publisher | |
Pages | 29 |
Release | 2000 |
Genre | |
ISBN |
Incorporating Estimation Risk in Portfolio Choice
Title | Incorporating Estimation Risk in Portfolio Choice PDF eBook |
Author | Jenke ter Horst |
Publisher | |
Pages | 35 |
Release | 2002 |
Genre | |
ISBN |
We propose a new adjustment in mean-variance portfolio weights to incorporate uncertainty caused by the fact that, in general, we have to use estimated expected returns when determining optimal portfolios. The adjustment amounts to using a higher pseudo risk-aversion rather than the actual risk-aversion and has a straightforward interpretation. The difference between the actual and the pseudo risk-aversion depends on the sample size, the number of assets in the portfolio, and the curvature of the mean-variance frontier. We show how short sales constraints and time-varying expected returns are incorporated in our framework. Applying the adjustment to international portfolios, we show that the adjustments are nontrivial for G5 country portfolios and that they are even more important when emerging markets are included. The exclusion of short sales is found to have a further important impact on the adjusted portfolio weights. In case expected country returns are time- varying, our adjustment induces a significantly smaller variability in portfolio weights that is commonly found.
Portfolio Choice and Estimation Risk: a Comparison of Bayesian Approaches to Resampled Efficiency
Title | Portfolio Choice and Estimation Risk: a Comparison of Bayesian Approaches to Resampled Efficiency PDF eBook |
Author | Ulf Herold |
Publisher | |
Pages | |
Release | 2005 |
Genre | |
ISBN |
Portfolio Choice, Estimation Risk and the Risk of Emerging Markets' Investments
Title | Portfolio Choice, Estimation Risk and the Risk of Emerging Markets' Investments PDF eBook |
Author | Wolfgang Drobetz |
Publisher | |
Pages | 28 |
Release | 1998 |
Genre | |
ISBN |