SHRINKAGE ESTIMATION OF MEAN-VARIANCE PORTFOLIO

This paper studies the optimal expected gain/loss of a portfolio at a given risk level when the initial investment is zero and the number of stocks p grows with the sample size n . A new estimator of the optimal expected gain/loss of such a portfolio is proposed after examining the behavior of the s...

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Veröffentlicht in:	International journal of theoretical and applied finance 2016-02, Vol.19 (1), p.1650003
Hauptverfasser:	LIU, YAN, CHAN, NGAI HANG, NG, CHI TIM, WONG, SAMUEL PO SHING
Format:	Artikel
Sprache:	eng
Online-Zugang:	Volltext
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