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| Author: | Hui, T.-K. Kwan, E. K. Lee, C.-B. |
| Title: | Optimal portfolio diversification: empirical Bayes versus classical approach. |
| Journal: | Journal of the Operational Research Society
1993 : NOV, VOL. 44:11, p. 1155-1159 |
| Index terms: | PORTFOLIO INVESTMENT DIVERSIFICATION ESTIMATION SECURITIES |
| Language: | eng |
| Abstract: | This study extends the research on international portfolio diversification with estimation risk. The model suggested by Jorion is used to derive the predictive distribution of future returns. The estimator is then compared with the classical one for both with and without short sales. It is found that the improvement for various optimal portfolios is greater for the case of short sales than the case of no short sales. |
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