Jackknife Estimator for Tracking Error Variance of Optimal Portfolios

DOI10.1287/mnsc.1090.1001zbMath1232.91644OpenAlexW2089201116MaRDI QIDQ3117837

Ravi Jagannathan, Tongshu Ma, Gopal Krishna Basak

Publication date: 1 March 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.1090.1001

zbMATH Keywords

jackknifetracking errorminimum-risk portfolios

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data ⋮ High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators ⋮ Replica approach to mean-variance portfolio optimization ⋮ Analytic solution to variance optimization with no short positions ⋮ High-dimensional minimum variance portfolio estimation based on high-frequency data ⋮ On the equivalence of quadratic optimization problems commonly used in portfolio theory

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