Bootstrap estimation of the efficient frontier
Author
Abstract
Suggested Citation
DOI: 10.1007/s10287-016-0257-2
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- MacKinlay, A Craig & Pastor, Lubos, 2000.
"Asset Pricing Models: Implications for Expected Returns and Portfolio Selection,"
The Review of Financial Studies, Society for Financial Studies, vol. 13(4), pages 883-916.
- A. CRAIG MacKINLAY & LUBOŠ PÁSTOR, "undated". "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," CRSP working papers 510, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- A. CRAIG MacKINLAY & LUBOŠ PÁSTOR, "undated". "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," CRSP working papers 362, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- A. Craig MacKinlay & Lubos Pastor, "undated". "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," Rodney L. White Center for Financial Research Working Papers 13-99, Wharton School Rodney L. White Center for Financial Research.
- A. Craig MacKinlay & Lubos Pástor, "undated". "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," Rodney L. White Center for Financial Research Working Papers 19-98, Wharton School Rodney L. White Center for Financial Research.
- A. Craig MacKinlay & Lubos Pastor, 1999. "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," NBER Working Papers 7162, National Bureau of Economic Research, Inc.
- Taras Bodnar & Wolfgang Schmid, 2009. "Econometrical analysis of the sample efficient frontier," The European Journal of Finance, Taylor & Francis Journals, vol. 15(3), pages 317-335.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Lorenzo Pascual & Juan Romo & Esther Ruiz, 2004.
"Bootstrap predictive inference for ARIMA processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 449-465, July.
- Pascual, Lorenzo, 1999. "Bootstrap Predictive Inference for Arima Processes," DES - Working Papers. Statistics and Econometrics. WS 6283, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Okhrin, Yarema & Schmid, Wolfgang, 2006. "Distributional properties of portfolio weights," Journal of Econometrics, Elsevier, vol. 134(1), pages 235-256, September.
- Huifu Xu & Dali Zhang, 2012. "Monte Carlo methods for mean-risk optimization and portfolio selection," Computational Management Science, Springer, vol. 9(1), pages 3-29, February.
- J. Knight & S. E. Satchell, 2010. "Exact properties of measures of optimal investment for benchmarked portfolios," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 495-502.
- Mark Britten‐Jones, 1999. "The Sampling Error in Estimates of Mean‐Variance Efficient Portfolio Weights," Journal of Finance, American Finance Association, vol. 54(2), pages 655-671, April.
- Ľuboš Pástor, 2000.
"Portfolio Selection and Asset Pricing Models,"
Journal of Finance, American Finance Association, vol. 55(1), pages 179-223, February.
- Lubo Pástor, "undated". "Portfolio Selection and Asset Pricing Models," CRSP working papers 498, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Lubo Pástor, "undated". "Portfolio Selection and Asset Pricing Models," CRSP working papers 356, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Leung, Pui-Lam & Ng, Hon-Yip & Wong, Wing-Keung, 2012. "An improved estimation to make Markowitz’s portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment," European Journal of Operational Research, Elsevier, vol. 222(1), pages 85-95.
- Merton, Robert C., 1972. "An Analytic Derivation of the Efficient Portfolio Frontier," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(4), pages 1851-1872, September.
- Campbell Harvey & John Liechty & Merrill Liechty & Peter Muller, 2010. "Portfolio selection with higher moments," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 469-485.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Taras Bodnar & Yarema Okhrin & Valdemar Vitlinskyy & Taras Zabolotskyy, 2018. "Determination and estimation of risk aversion coefficients," Computational Management Science, Springer, vol. 15(2), pages 297-317, June.
- Taras Bodnar & Mathias Lindholm & Erik Thorsén & Joanna Tyrcha, 2021. "Quantile-based optimal portfolio selection," Computational Management Science, Springer, vol. 18(3), pages 299-324, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Bodnar Taras & Schmid Wolfgang, 2011. "On the exact distribution of the estimated expected utility portfolio weights: Theory and applications," Statistics & Risk Modeling, De Gruyter, vol. 28(4), pages 319-342, December.
- Bodnar Taras & Schmid Wolfgang & Zabolotskyy Tara, 2012. "Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests," Statistics & Risk Modeling, De Gruyter, vol. 29(4), pages 281-314, November.
- Muhinyuza, Stanislas & Bodnar, Taras & Lindholm, Mathias, 2020. "A test on the location of the tangency portfolio on the set of feasible portfolios," Applied Mathematics and Computation, Elsevier, vol. 386(C).
- Bodnar, Taras & Parolya, Nestor & Thorsén, Erik, 2023.
"Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?,"
Finance Research Letters, Elsevier, vol. 54(C).
- Taras Bodnar & Nestor Parolya & Erik Thors'en, 2021. "Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?," Papers 2111.12532, arXiv.org.
- Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2013.
"On the equivalence of quadratic optimization problems commonly used in portfolio theory,"
European Journal of Operational Research, Elsevier, vol. 229(3), pages 637-644.
- Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory," Papers 1207.1029, arXiv.org, revised Apr 2013.
- Tu, Jun & Zhou, Guofu, 2010. "Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(4), pages 959-986, August.
- Taras Bodnar & Wolfgang Schmid & Taras Zabolotskyy, 2013. "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," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(8), pages 1105-1134, November.
- Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2015.
"A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function,"
Annals of Operations Research, Springer, vol. 229(1), pages 121-158, June.
- Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function," Papers 1207.1003, arXiv.org, revised Nov 2014.
- Chavez-Bedoya, Luis & Rosales, Francisco, 2022. "Orthogonal portfolios to assess estimation risk," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 906-937.
- Lassance, Nathan & Vrins, Frédéric, 2021.
"Portfolio selection with parsimonious higher comoments estimation,"
Journal of Banking & Finance, Elsevier, vol. 126(C).
- Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio selection with parsimonious higher comoments estimation," LIDAM Reprints LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).
- Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
- David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2021.
"Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty,"
Quantitative Finance, Taylor & Francis Journals, vol. 21(2), pages 221-242, February.
- David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2018. "Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty," Papers 1803.03573, arXiv.org.
- Mårten Gulliksson & Stepan Mazur, 2020.
"An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection,"
Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 773-794, December.
- Gulliksson, Mårten & Mazur, Stepan, 2019. "An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection," Working Papers 2019:3, Örebro University, School of Business.
- Taras Bodnar, 2009. "An exact test on structural changes in the weights of the global minimum variance portfolio," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 363-370.
- Hsieh, Yu-Wei & Shi, Xiaoxia & Shum, Matthew, 2022.
"Inference on estimators defined by mathematical programming,"
Journal of Econometrics, Elsevier, vol. 226(2), pages 248-268.
- Yu-Wei Hsieh & Xiaoxia Shi & Matthew Shum, 2017. "Inference on Estimators defined by Mathematical Programming," Papers 1709.09115, arXiv.org.
- Chavez-Bedoya, Luis & Rosales, Francisco, 2021. "Reduction of estimation risk in optimal portfolio choice using redundant constraints," International Review of Financial Analysis, Elsevier, vol. 78(C).
- Bodnar, Olha & Bodnar, Taras & Niklasson, Vilhelm, 2024. "Constructing Bayesian tangency portfolios under short-selling restrictions," Finance Research Letters, Elsevier, vol. 62(PA).
- Lassance, Nathan, 2022. "Reconciling mean-variance portfolio theory with non-Gaussian returns," European Journal of Operational Research, Elsevier, vol. 297(2), pages 729-740.
- Palczewski, Andrzej & Palczewski, Jan, 2014. "Theoretical and empirical estimates of mean–variance portfolio sensitivity," European Journal of Operational Research, Elsevier, vol. 234(2), pages 402-410.
- Bai, Zhidong & Liu, Huixia & Wong, Wing-Keung, 2016. "Making Markowitz's Portfolio Optimization Theory Practically Useful," MPRA Paper 74360, University Library of Munich, Germany.
More about this item
Keywords
Asset allocation; Efficient frontier; Portfolio analysis; Mean-variance portfolios; Resampling methods; Sharpe ratio optimal portfolio; Interval estimation;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:comgts:v:13:y:2016:i:4:d:10.1007_s10287-016-0257-2. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.