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estimation error
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capital market line adjustment
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covariance matrix estimation
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A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
DeMiguel, Victor
;
Garlappi, Lorenzo
;
Nogales, Francisco J.
- In:
Management Science
55
(
2009
)
5
,
pp. 798-812
We provide a general framework for finding portfolios that perform well out-of-sample in the presence of
estimation
…
error
. This framework relies on solving the traditional minimum-variance problem but subject to the additional constraint …
Persistent link: https://www.econbiz.de/10009197913
Saved in:
2
Performance of Portfolios Optimized with
Estimation
Error
Siegel, Andrew F.
;
Woodgate, Artemiza
- In:
Management Science
53
(
2007
)
6
,
pp. 1005-1015
methods it may be possible to assess, before investing, the effect of statistical
estimation
error
on portfolio performance. …
Persistent link: https://www.econbiz.de/10009209378
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