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Bayesian and CAPM estimators of the means: Implications for portfolio selection

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Cited by:

  1. Hwang, Inchang & Xu, Simon & In, Francis, 2018. "Naive versus optimal diversification: Tail risk and performance," European Journal of Operational Research, Elsevier, vol. 265(1), pages 372-388.
  2. Guillaume Coqueret, 2015. "Diversified minimum-variance portfolios," Annals of Finance, Springer, vol. 11(2), pages 221-241, May.
  3. Ravi Jagannathan & Tongshu Ma, 2003. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," Journal of Finance, American Finance Association, vol. 58(4), pages 1651-1683, August.
  4. Rossello, Damiano, 2015. "Ranking of investment funds: Acceptability versus robustness," European Journal of Operational Research, Elsevier, vol. 245(3), pages 828-836.
  5. Maciel, Leandro, 2021. "A new approach to portfolio management in the Brazilian equity market: Does assets efficiency level improve performance?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 38-56.
  6. Piotr Fiszeder, 2011. "Minimum Variance Portfolio Selection for Large Number of Stocks – Application of Time-Varying Covariance Matrices," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 11, pages 87-98.
  7. Cesare Robotti, 2003. "Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio," FRB Atlanta Working Paper 2003-6, Federal Reserve Bank of Atlanta.
  8. Mainik, Georg & Mitov, Georgi & Rüschendorf, Ludger, 2015. "Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 115-134.
  9. Robert R. Grauer and Nils H. Hakansson., 1998. "Applying the Grinblatt-Titman and the Conditional (Ferson-Schadt) Performance Measures: The Case of Industry Rotation Via the Dynamic Investment Model," Research Program in Finance Working Papers RPF-277, University of California at Berkeley.
  10. Andrew F. Siegel & Artemiza Woodgate, 2007. "Performance of Portfolios Optimized with Estimation Error," Management Science, INFORMS, vol. 53(6), pages 1005-1015, June.
  11. 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).
  12. Liusha Yang & Romain Couillet & Matthew R. McKay, 2015. "A Robust Statistics Approach to Minimum Variance Portfolio Optimization," Papers 1503.08013, arXiv.org.
  13. Schanbacher Peter, 2015. "Averaging Across Asset Allocation Models," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 235(1), pages 61-81, February.
  14. Harris, Richard D.F. & Stoja, Evarist & Tan, Linzhi, 2017. "The dynamic Black–Litterman approach to asset allocation," European Journal of Operational Research, Elsevier, vol. 259(3), pages 1085-1096.
  15. Zhou, Jian, 2014. "Modeling conditional covariance for mixed-asset portfolios," Economic Modelling, Elsevier, vol. 40(C), pages 242-249.
  16. Jonathan Fletcher, 2009. "Risk Reduction and Mean-Variance Analysis: An Empirical Investigation," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(7-8), pages 951-971.
  17. Hsu, Po-Hsuan & Han, Qiheng & Wu, Wensheng & Cao, Zhiguang, 2018. "Asset allocation strategies, data snooping, and the 1 / N rule," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 257-269.
  18. Grauer, Robert R. & Shen, Frederick C., 2000. "Do constraints improve portfolio performance?," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1253-1274, August.
  19. Chavez-Bedoya, Luis & Rosales, Francisco, 2022. "Orthogonal portfolios to assess estimation risk," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 906-937.
  20. 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.
  21. Ter Horst, J.R. & de Roon, F.A. & Werker, B.J.M., 2000. "Incorporating Estimation Risk in Portfolio Choice," Other publications TiSEM 30107fbe-2dc9-43d5-a086-e, Tilburg University, School of Economics and Management.
  22. Greyserman, Alex & Jones, Douglas H. & Strawderman, William E., 2006. "Portfolio selection using hierarchical Bayesian analysis and MCMC methods," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 669-678, February.
  23. Roskelley, Kenneth D., 2008. "Cromwell's Rule and the Role of the Prior in the Economic Metric: An Application to the Portfolio Allocation Problem," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 227-236, April.
  24. Al Janabi, Mazin A.M., 2012. "Optimal commodity asset allocation with a coherent market risk modeling," Review of Financial Economics, Elsevier, vol. 21(3), pages 131-140.
  25. Barros Fernandes, José Luiz & Haas Ornelas, José Renato & Martínez Cusicanqui, Oscar Augusto, 2012. "Combining equilibrium, resampling, and analyst’s views in portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1354-1361.
  26. Mo, Guoli & Tan, Chunzhi & Zhang, Weiguo & Liu, Fang, 2019. "International portfolio of stock indices with spatiotemporal correlations: Can investors still benefit from portfolio, when and where?," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 168-183.
  27. Michael Senescall & Rand Kwong Yew Low, 2024. "Quantitative Portfolio Management: Review and Outlook," Mathematics, MDPI, vol. 12(18), pages 1-25, September.
  28. MUTEBA MWAMBA, John Weirstrass & MANTSHIMULI, Lamukanyani, 2017. "On the Protection of Investment Capital During Financial Crisis in the South African Equity Market: A Risk-Based Asset Allocation Approach," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 70(2), pages 165-192.
  29. Liu, Ludan, 2008. "It takes a model to beat a model: Volatility bounds," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 80-110, January.
  30. Ter Horst, J.R. & de Roon, F.A. & Werker, B.J.M., 2000. "Incorporating Estimation Risk in Portfolio Choice," Discussion Paper 2000-65, Tilburg University, Center for Economic Research.
  31. Kourtis, Apostolos & Dotsis, George & Markellos, Raphael N., 2012. "Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2522-2531.
  32. Yarema Okhrin & Wolfgang Schmid, 2007. "Comparison of different estimation techniques for portfolio selection," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 91(2), pages 109-127, August.
  33. Mazin A.M. Al Janabi, 2012. "Optimal commodity asset allocation with a coherent market risk modeling," Review of Financial Economics, John Wiley & Sons, vol. 21(3), pages 131-140, September.
  34. Eichholtz, Piet & Koedijk, Kees & de Roon, Frans, 2002. "The Portfolio Implications of Home Ownership," CEPR Discussion Papers 3501, C.E.P.R. Discussion Papers.
  35. Cisil Sarisoy & Bas J.M. Werker, 2024. "Linear Factor Models and the Estimation of Expected Returns," Finance and Economics Discussion Series 2024-014, Board of Governors of the Federal Reserve System (U.S.).
  36. Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
  37. Al Janabi, Mazin A.M., 2014. "Optimal and investable portfolios: An empirical analysis with scenario optimization algorithms under crisis market prospects," Economic Modelling, Elsevier, vol. 40(C), pages 369-381.
  38. 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.
  39. Peralta, Gustavo & Zareei, Abalfazl, 2016. "A network approach to portfolio selection," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 157-180.
  40. Mazin Al Janabi, 2013. "Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives," Annals of Operations Research, Springer, vol. 205(1), pages 109-139, May.
  41. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
  42. Boris Georgiev, 2014. "Constrained Mean-Variance Portfolio Optimization with Alternative Return Estimation," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 42(1), pages 91-107, March.
  43. Erindi Allaj, 2020. "The Black–Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation," Computational Management Science, Springer, vol. 17(3), pages 465-492, October.
  44. Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
  45. Victor DeMiguel & Lorenzo Garlappi & Francisco J. Nogales & Raman Uppal, 2009. "A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms," Management Science, INFORMS, vol. 55(5), pages 798-812, May.
  46. Takuya Kinkawa & Nobuo Shinozaki, 2010. "Dominance of a Class of Stein type Estimators for Optimal Portfolio Weights When the Covariance Matrix is Unknown," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(1), pages 19-50, March.
  47. Georg Mainik & Georgi Mitov & Ludger Ruschendorf, 2015. "Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz," Papers 1505.04045, arXiv.org.
  48. Overfelt, Wouter Van & Annaert, Jan & Ceuster, Marc De & Deloof, Marc, 2009. "Do universal banks create value? Universal bank affiliation and company performance in Belgium, 1905-1909," Explorations in Economic History, Elsevier, vol. 46(2), pages 253-265, April.
  49. Mazin A.M. Al Janabi, 2021. "Is optimum always optimal? A revisit of the mean‐variance method under nonlinear measures of dependence and non‐normal liquidity constraints," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 387-415, April.
  50. Raymond Kan & Xiaolu Wang & Guofu Zhou, 2022. "Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case," Management Science, INFORMS, vol. 68(3), pages 2047-2068, March.
  51. Bruno Scalzo & Alvaro Arroyo & Ljubisa Stankovic & Danilo P. Mandic, 2021. "Nonstationary Portfolios: Diversification in the Spectral Domain," Papers 2102.00477, arXiv.org.
  52. Klaas P. Baks & Andrew Metrick & Jessica Wachter, 2001. "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation," Journal of Finance, American Finance Association, vol. 56(1), pages 45-85, February.
  53. Zhou, Zhongbao & Gao, Meng & Xiao, Helu & Wang, Rui & Liu, Wenbin, 2021. "Big data and portfolio optimization: A novel approach integrating DEA with multiple data sources," Omega, Elsevier, vol. 104(C).
  54. Mazin A M Al Janabi, 2011. "Dynamic equity asset allocation with liquidity-adjusted market risk criterion: Appraisal of efficient and coherent portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 12(6), pages 378-394, December.
  55. Víctor M. Adame-García & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, "undated". "Portfolios in the Ibex 35 index: Alternative methods to the traditional framework, a comparative with the naive diversification in a pre- and post- crisis context," Documentos de Trabajo del ICAE 2015-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Jun 2015.
  56. Klaas Baks & Andrew Metrick & Jessica Wachter, 1999. "Bayesian Performance Evaluation," NBER Working Papers 7069, National Bureau of Economic Research, Inc.
  57. Al Janabi, Mazin A.M. & Ferrer, Román & Shahzad, Syed Jawad Hussain, 2019. "Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  58. Lorenzo Garlappi & Raman Uppal & Tan Wang, 2007. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," The Review of Financial Studies, Society for Financial Studies, vol. 20(1), pages 41-81, January.
  59. Fatemeh KIASSI, 2022. "Portfolio construction and performance evaluation: Evidence from India and Iran," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(633), W), pages 217-230, Winter.
  60. Meade, N. & Beasley, J.E. & Adcock, C.J., 2021. "Quantitative portfolio selection: Using density forecasting to find consistent portfolios," European Journal of Operational Research, Elsevier, vol. 288(3), pages 1053-1067.
  61. Bluford H. Putnam & Jose Mario Quintana, 1991. "Mean‐Variance Optimal Portfolio Models And The Inappropriateness Of The Assumption Of A Time‐Stable Variance‐Covariance Matrix," Review of Financial Economics, John Wiley & Sons, vol. 1(1), pages 1-22, September.
  62. Jiahan Li & Ilias Tsiakas & Wei Wang, 2015. "Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?," Journal of Financial Econometrics, Oxford University Press, vol. 13(2), pages 293-341.
  63. Heung-Joo Cha & Thadavillil Jithendranathan, 2009. "Time-varying correlations and optimal allocation in emerging market equities for the US investors," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(2), pages 172-187.
  64. Mukherjee, Raja & Paul, Satya & Shankar, Sriram, 2018. "Equity home bias—A global perspective from the shrunk frontier," Economic Analysis and Policy, Elsevier, vol. 57(C), pages 9-21.
  65. VAN OVERFELT, Wouter & ANNAERT, Jan & DE CEUSTER, Marc & DELOOF, Marc, 2007. "Do universal banks create value? Universal bank affiliation and company performance in Belgium, 1905-1909," Working Papers 2007001, University of Antwerp, Faculty of Business and Economics.
  66. Wickern, Tobias, 2011. "Confidence in prior knowledge: Calibration and impact on portfolio performance," Discussion Papers in Econometrics and Statistics 7/11, University of Cologne, Institute of Econometrics and Statistics.
  67. Walsh, David M. & Walsh, Kathleen D. & Evans, John P., 1998. "Assessing estimation error in a tracking error variance minimisation framework," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 175-192, May.
  68. Michael Verhofen, 2005. "Markov Chain Monte Carlo Methods in Financial Econometrics," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(4), pages 397-405, December.
  69. Ding, Yi & Li, Yingying & Zheng, Xinghua, 2021. "High dimensional minimum variance portfolio estimation under statistical factor models," Journal of Econometrics, Elsevier, vol. 222(1), pages 502-515.
  70. Plantinga, Auke & Scholtens, Bert, 2016. "The financial impact of divestment from fossil fuels," Research Report 16005-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  71. Víctor Adame-García & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2017. "“Resolution of optimization problems and construction of efficient portfolios: An application to the Euro Stoxx 50 index"," IREA Working Papers 201702, University of Barcelona, Research Institute of Applied Economics, revised Feb 2017.
  72. Jonathan Fletcher, 2009. "Risk Reduction and Mean‐Variance Analysis: An Empirical Investigation," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(7‐8), pages 951-971, September.
  73. Frank Fabozzi & Dashan Huang & Guofu Zhou, 2010. "Robust portfolios: contributions from operations research and finance," Annals of Operations Research, Springer, vol. 176(1), pages 191-220, April.
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  75. Oikonomou, Ioannis & Platanakis, Emmanouil & Sutcliffe, Charles, 2018. "Socially responsible investment portfolios: Does the optimization process matter?," The British Accounting Review, Elsevier, vol. 50(4), pages 379-401.
  76. Grauer, Robert R. & Hakansson, Nils H., 1995. "Stein and CAPM estimators of the means in asset allocation," International Review of Financial Analysis, Elsevier, vol. 4(1), pages 35-66.
  77. Patrick Bielstein & Matthias X. Hanauer, 2019. "Mean-variance optimization using forward-looking return estimates," Review of Quantitative Finance and Accounting, Springer, vol. 52(3), pages 815-840, April.
  78. Frahm, Gabriel, 2010. "An analytical investigation of estimators for expected asset returns from the perspective of optimal asset allocation," Discussion Papers in Econometrics and Statistics 1/10, University of Cologne, Institute of Econometrics and Statistics.
  79. Kim, Woo Chang & Kim, Jang Ho & Mulvey, John M. & Fabozzi, Frank J., 2015. "Focusing on the worst state for robust investing," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 19-31.
  80. David Allen & Stephen Satchell & Colin Lizieri, 2024. "Quantifying the non-Gaussian gain," Journal of Asset Management, Palgrave Macmillan, vol. 25(1), pages 1-18, February.
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