Please use this identifier to cite or link to this item:
https://doi.org/10.3233/RDA-2008-0004
DC Field | Value | |
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dc.title | On the Markowitz mean-variance analysis of self-financing portfolios | |
dc.contributor.author | Bai, Z. | |
dc.contributor.author | Liu, H. | |
dc.contributor.author | Wong, W.-K. | |
dc.date.accessioned | 2014-10-28T05:14:02Z | |
dc.date.available | 2014-10-28T05:14:02Z | |
dc.date.issued | 2009 | |
dc.identifier.citation | 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. <a href="https://doi.org/10.3233/RDA-2008-0004" target="_blank">https://doi.org/10.3233/RDA-2008-0004</a> | |
dc.identifier.issn | 15697371 | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/105278 | |
dc.description.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. | |
dc.description.uri | http://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.3233/RDA-2008-0004 | |
dc.source | Scopus | |
dc.subject | bootstrap method | |
dc.subject | large random matrix | |
dc.subject | mean-variance optimization | |
dc.subject | Optimal portfolio allocation | |
dc.subject | self-financing portfolio | |
dc.type | Article | |
dc.contributor.department | STATISTICS & APPLIED PROBABILITY | |
dc.description.doi | 10.3233/RDA-2008-0004 | |
dc.description.sourcetitle | Risk and Decision Analysis | |
dc.description.volume | 1 | |
dc.description.issue | 1 | |
dc.description.page | 35-42 | |
dc.identifier.isiut | NOT_IN_WOS | |
Appears in Collections: | Staff Publications |
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