For the popular mean-variance portfolio choice problem in the case without a risk-free asset, we develop a new portfolio strategy to mitigate estimation risk. We show that in both calibrations and real datasets, optimally combining the sample global minimum variance portfolio with a sample...

The median is often a better measure than the mean in evaluating a portfolio's long-term value. The standard plug-in estimate of the median, however, is too optimistic. It has a substantial upward bias that can easily exceed a factor of 2. This article provides an unbiased forecast of the median...