In this paper, we build estimation error in mean returns into the mean-variance (MV) portfolio theory under the … of the MV portfolio along with its mean and risk return when the sample covariance matrix is equal to a constant matrix …. We use the mean squared error (MSE) to characterize the effects of estimation error in mean returns on the joint sampling …

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

-diversifiable risk. In the context of normally distributed asset returns, its estimator and finite-sample properties are explored when … allocation does. -- Diversification ; Portfolio Management ; Naive Portfolio ; Variance Estimation ; Finite-Sample Distribution …

Estimation constitutes a major challenge in the implementation of mean-variance portfolios. To overcome this, we … propose a partial index-tracking strategy that aims to mitigate estimation error ex-ante. Theoretically, we minimize the mean …

fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …