haku: @indexterm simulation / yhteensä: 646
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| Tekijä: | Golosnoy, V. Okhrin, Y. |
| Otsikko: | Multivariate shrinkage for optimal portfolio weights |
| Lehti: | European Journal of Finance
2007 : JUL/SEP, VOL. 13:5-6, p. 441-458 |
| Asiasana: | financial markets portfolio selection estimation risk simulation models Asia Europe North America |
| Kieli: | eng |
| Tiivistelmä: | In this study, a multivariate shrinkage (here as: srge.) estimator (as: estm.) for the optimal portfolio weights is proposed. The estimated classical Markowitz weights are shrunk to the deterministic target portfolio weights. The estimated srge. weight properties are explored both analytically and using Monte Carlo simulations. Based on 10 developed financial markets of Canada, France, Germany, Italy, Japan, the Netherlands, Spain, Switzerland, the U.K., and USA, the competing portfolio selection approaches are empirically compared. Both simulation and empirical studies show that the proposed srge. estm. is robust, providing significant gains to the investor compared to benchmark procedures. |
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