ON THE UNBIASED ESTIMATOR OF THE EFFICIENT FRONTIER

In the paper, we derive an unbiased estimator of the efficient frontier. It is shown that the suggested estimator corrects the overoptimism of the sample efficient frontier documented in Siegel and Woodgate (2007). Moreover, an exact F-test on the efficient frontier is presented.

MoreLess

Year of publication:	2010
Authors:	BODNAR, OLHA ; BODNAR, TARAS
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 13.2010, 07, p. 1065-1073
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Efficient frontier \| mean-variance portfolio \| parameter uncertainty

More details

Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008725896