首页> 外文期刊>Statistical papers >Linear statistical inference for global and local minimum variance portfolios
【24h】

Linear statistical inference for global and local minimum variance portfolios

机译:全局和局部最小方差组合的线性统计推断

获取原文
获取原文并翻译 | 示例
       

摘要

Traditional portfolio optimization has often been criticized for not taking estimation risk into account. Estimation risk is mainly driven by the parameter uncertainty regarding the expected asset returns rather than their variances and covariances.The global minimum variance portfolio has been advocated by many authors as an appropriate alternative to the tangential portfolio. This is because there are no expectations which have to be estimated and thus the impact of estimation errors can be substantially reduced. However, in many practical situations an investor is not willing to choose the global minimum variance portfolio but hewants tominimize the variance of the portfolio return under specific constraints for the portfolio weights. Such a portfolio is called local minimum variance portfolio. Small-sample hypothesis tests for global and local minimum variance portfolios are derived and the exact distributions of the estimated portfolio weights are calculated in the present work. The first two moments of the estimator for the expected portfolio returns are also provided and the presented instruments are illustrated by an empirical study.
机译:传统的投资组合优化经常因未考虑估计风险而受到批评。估计风险主要是由有关预期资产收益的参数不确定性驱动的,而不是由方差和协方差引起的。许多作者主张使用全局最小方差投资组合作为切向投资组合的适当替代方案。这是因为没有必须估计的期望,因此可以大大减少估计误差的影响。但是,在许多实际情况下,投资者不愿意选择全局最小方差组合,而是希望在特定的组合权重约束下使组合收益的方差最小化。这样的投资组合称为局部最小方差投资组合。导出了针对全局和局部最小方差投资组合的小样本假设检验,并在当前工作中计算了估计投资组合权重的确切分布。还提供了预期投资组合收益估算器的前两个时刻,并通过实证研究说明了所提出的工具。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱:kefu@zhangqiaokeyan.com

京公网安备:11010802029741号 ICP备案号:京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有
  • 客服微信

  • 服务号