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capital market line adjustment 1 estimation error 1 investments 1 portfolio performance 1 statistical noise correction 1
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Siegel, Andrew F. 1 Woodgate, Artemiza 1
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Management Science 1
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Performance of Portfolios Optimized with Estimation Error
Siegel, Andrew F.; Woodgate, Artemiza - In: Management Science 53 (2007) 6, pp. 1005-1015
We explain the poor out-of-sample performance of mean-variance optimized portfolios, developing theoretical bias adjustments for estimation risk by asymptotically expanding future returns of portfolios formed with estimated weights. We provide closed-form non-Bayesian adjustments of classical...
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