𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Estimation risk and stability of optimal portfolio composition

✍ Scribed by Harbans L. Dhingra


Publisher
Elsevier Science
Year
1983
Tongue
English
Weight
806 KB
Volume
13
Category
Article
ISSN
0377-2217

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Reducing estimation risk in optimal port
✍ Gordon J. Alexander; Alexandre M. Baptista; Shu Yan πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 402 KB

## Abstract The issue of estimation risk is of particular interest to the decision‐making processes of portfolio managers who use long–short investment strategies. Accordingly, our paper explores the question of whether a VaR constraint reduces estimation risk when short sales are allowed. We find

Optimal portfolios with regime switching
✍ Ka-Fai Cedric Yiu; Jingzhen Liu; Tak Kuen Siu; Wai-Ki Ching πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 591 KB

We consider the optimal portfolio selection problem subject to a maximum value-at-Risk (MVaR) constraint when the price dynamics of the risky asset are governed by a Markov-modulated geometric Brownian motion (GBM). Here, the market parameters including the market interest rate of a bank account, th