haku: @author Turner, A. / yhteensä: 4
viite: 3 / 4
| Tekijä: | Chopra, V. Hensel, C. Turner, A. |
| Otsikko: | Massaging mean-variance inputs: returns from alternative global investment strategies in the 1980s |
| Lehti: | Management Science
1993 : JUL, VOL. 39:7, p. 845-855 |
| Asiasana: | OPTIMIZATION ESTIMATION RISK INVESTMENT |
| Kieli: | eng |
| Tiivistelmä: | This paper explores the impact of adjustments to the inputs on total returns, terminal wealth and portfolio turnover in an unconstrained monthly mean-variance (MV) asset allocation over time. It is well known that MV allocations are very sensitive to small forecast errors in the means and covariances. This sensitivity is especially pronounced for errors in means. One way to control this sensitivity to forecast errors is to use Stein estimation. The authors examined three naive applications of Stein estimation for six individual country stock indexes, five country bond indexes and five cash indexes. |
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