English, Article edition: ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS YAREMA OKHRIN; WOLFGANG SCHMID

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Bookmark: http://trove.nla.gov.au/version/82991
Physical Description
  • article
Language
  • English

Edition details

Title
  • ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS
Author
  • YAREMA OKHRIN
  • WOLFGANG SCHMID
Physical Description
  • article
Notes
  • The paper discusses finite sample properties of optimal portfolio weights, estimated expected portfolio return, and portfolio variance. The first estimator assumes the asset returns to be independent, while the second takes them to be predictable using a linear regression model. The third and the fourth approaches are based on a shrinkage technique and a Bayesian methodology, respectively. In the first two cases, we establish the moments of the weights and the portfolio returns. A consistent estimator of the shrinkage parameter for the third estimator is then derived. The advantages of the shrinkage approach are assessed in an empirical study.
  • Optimal portfolio weights, finite sample moments, shrinkage
  • RePEc:wsi:ijtafx:v:11:y:2008:i:03:p:249-276
Language
  • English
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