ON THE UNBIASED ESTIMATOR OF THE EFFICIENT FRONTIER

DOI10.1142/S021902491000611XzbMath1205.91171OpenAlexW2096370806MaRDI QIDQ3067764

Taras Bodnar, Olha Bodnar

Publication date: 13 January 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491000611x

zbMATH Keywords

parameter uncertaintyefficient frontiermean-variance portfolio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (6)

Bayesian portfolio selection using VaR and CVaR ⋮ Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty ⋮ Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions ⋮ Some Critical Insights on the Unbiased Efficient Frontier à la Bodnar&Bodnar ⋮ Recent advances in shrinkage-based high-dimensional inference ⋮ A test on mean-variance efficiency of the tangency portfolio in high-dimensional setting

Cites Work

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• Performance of Portfolios Optimized with Estimation Error
• The Distribution of the Sample Minimum-Variance Frontier
• Exact properties of measures of optimal investment for benchmarked portfolios

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