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|Title:||On the Markowitz mean-variance analysis of self-financing portfolios|
|Authors:||Bai, Z. |
large random matrix
Optimal portfolio allocation
|Source:||Bai, Z.,Liu, H.,Wong, W.-K. (2009). On the Markowitz mean-variance analysis of self-financing portfolios. Risk and Decision Analysis 1 (1) : 35-42. ScholarBank@NUS Repository. https://doi.org/10.3233/RDA-2008-0004|
|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. © 2009 - IOS Press and the authors. All rights reserved.|
|Source Title:||Risk and Decision Analysis|
|Appears in Collections:||Staff Publications|
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