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Persistent link: https://www.econbiz.de/10011903768
In the present work I derive the risk functions of 5 standard estimators for expected asset returns which are frequently advocated in the literature, viz the sample mean vector, the James-Stein and Bayes-Stein estimator, the minimum-variance estimator, and the CAPM estimator. I resolve the...
Persistent link: https://www.econbiz.de/10008939385
We introduce a measure of diversification for portfolios comprising d risky assets. This measure relates the smallest possible return variance among these d assets to the overall portfolio return variance, yielding the portion of non-diversifiable risk. In the context of normally distributed...
Persistent link: https://www.econbiz.de/10008939082
Persistent link: https://www.econbiz.de/10010213072