Please use this identifier to cite or link to this item: https://doi.org/10.3233/RDA-2008-0004
Title: On the Markowitz mean-variance analysis of self-financing portfolios
Authors: Bai, Z. 
Liu, H.
Wong, W.-K.
Keywords: bootstrap method
large random matrix
mean-variance optimization
Optimal portfolio allocation
self-financing portfolio
Issue Date: 2009
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
URI: http://scholarbank.nus.edu.sg/handle/10635/105278
ISSN: 15697371
DOI: 10.3233/RDA-2008-0004
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