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| Author: | Kempf, A. Memmel, C. |
| Title: | Parameterschätzungen in der Portfoliotheorie: Ein analytischer und simulationsgestützter Vergleich |
| Journal: | Betriebswirtschaft
2003 : SEP/OCT, VOL. 63:5, p. 516-531 |
| Index terms: | Theories Models |
| Freeterms: | Portfolio optimization |
| Language: | ger |
| Abstract: | For the portfolio optimization of Markowitz the investor has to estimate the expected returns, return variances and covariances. Estimation errors in these parameters reduce the utility of the investor. In a simulation study, this paper compares different estimation strategies and derives three recommendations: The classical times series estimators should not be used. The expected returns should not be estimated from time series data. The second moments should be estimated with advanced estimators from times series data (original in German). |
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