Abstract
This paper extends the work of Markowitz (1952), Korkie and Turtle (2002) and others by first proving that the traditional estimate for the optimal return of self-financing portfolios always over-estimates from its theoretic value. To circumvent the problem, we develop a bootstrap estimate for the optimal return of self-financing portfolios and prove that this estimate is consistent with its counterpart parameter. We further demonstrate the superiority of our proposed estimate over the traditional estimate by simulation.
| Original language | English |
|---|---|
| Pages (from-to) | 35-42 |
| Number of pages | 8 |
| Journal | Risk and Decision Analysis |
| Volume | 1 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2009 |
Scopus Subject Areas
- Statistics and Probability
- Finance
- Economics and Econometrics
- Statistics, Probability and Uncertainty
User-Defined Keywords
- bootstrap method
- large random matrix
- mean-variance optimization
- Optimal portfolio allocation
- self-financing portfolio