Using the Markowitz mean-variance portfolio optimization theory, researchers have shown that the traditional estimated return greatly overestimates the theoretical optimal return, especially when the dimension to sample size ratio p/n is large. Bai, Liu, and Wong (2009) propose a...

Extending the work of Jobson and Korkie (1981), Lo (2002) and Memmel (2003), this paper applies the technique of the repeated measures design to develop the Multiple Sharpe ratio test statistic to test the hypothesis of the equality of the multiple Sharpe ratios. We also work out the asymptotic...

The aim of this paper is to consider instability and ambiguity problems on portfolio selection. We examine the impact of estimation errors on financial portfolios optimization processes. We investigate the controversy problem of international and domestic optimal diversification strategies...

This paper examines the impact of estimation errors on the financial portfolios optimization processes and investigates the controversy problem of the international and domestic optimal diversification strategies choice from an American investor’s point of view. We introduce the concept of...

This study employs the mean-variance (MV) criterion, Capital Asset Pricing Model (CAPM) statistics and stochastic dominance (SD) analysis to investigate the performance of option strategies, including writing out-of-the-money (OTM) covered call and buying in-the-money (ITM) protective put, with...