Dominating estimators for theglobal minimum variance portfolio

The minimisation of the return variance is one of the classical topics of portfolio theory. One of the main difficulties of variance minimisation is the neccessary input factors- variances and covariances- of the assets of the investment universe- are unknown. Often these variances and covariances are estimated from time series and one incorporates these estimates into the optimisation as if they were the true parameters (traditional approach).[...]

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Year of publication:	2009-02-20
Authors:	Frahm, Gabriel ; Memmel, Christoph
Institutions:	Volkswirtschaftliches Forschungszentrum <Frankfurt, Main>
Subject:	Portfolio Selection \| Diversifikation \| Diversification gains \| Minimum-Varianz-Portfolio \| Stein-Schätzung

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Extent:	533504 bytes 44 p. application/pdf
Series:	Deutsche Bundesbank - Forschungszentrum - Diskussionspapiere 2009 Reihe 2: "Banking and Financial Studies" ; No 01/2009
Type of publication:	Book / Working Paper
Language:	English
ISBN:	978-3–86558–490–8
Classification:	C13 - Estimation ; G11 - Portfolio Choice ; Employment of capital, capital investment planning and estimate of investment profitability ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005866279