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| Title: | Robust Portfolio Selection Based on the Shrinkage Estimation
穩健資產組合選擇: 收縮估計式的應用 |
| Authors: | 莊珮玲
Chuang,Pei-ling |
| Contributors: | 郭炳伸
Kuo,Biing-Shen
莊珮玲
Chuang,Pei-ling |
| Keywords: | shrinkage estimation
classical estimation
portfolio selection
MSE |
| Date: | 2004 |
| Issue Date: | 2009-09-18 18:56:53 (UTC+8) |
| Abstract: | When portfolio selection is implemented by using the past sample values, parameter uncertainty may lead to suboptimal portfolios. Previous studies of portfolio selection demonstrate that classical approach based on the simple mean estimator is less reliable cause of inherent estimation error. In this paper, we investigate a shrinkage estimator based on Stein’s idea in measuring the expected returns. We apply the research of Jorion (1985) to Taiwan Stock market, present the effects of estimation error on the portfolio selection and demonstrate that the shrinkage estimator is robust and dominates the classical estimator on the MSE criterion. In addition, we also examine the effect of different shrinkage target on the performance of the Bayes-Stein estimator and find that this estimator still has lower risk than the classical sample mean. |
| Reference: | [1] Bawa, V. S., Brown, S. J., and Klein, R. W. (1979) , “Estimation Risk and Optimal Portfolio Choice.” In Studies in Bayesian Econometrics, Zellner, A., and Kadane, J.B. eds. Amsterdam: North Holland.
[2] Brandt, M. W. (2004) , “Portfolio Choice Problems.” In Y. Ait-Sahalia and L. P. Hansen, eds., Handbook of Financial Econometrics, Elsevier Science: Amsterdam.
[3] Efron, B., and Morris, C. (1977) , “Stein’s Paradox in Statistics.” Scientific American, 236(5) , 119-127.
[4] James, W., and Stein, C. (1961) , “Estimation with Quadratic Loss.” Proceedings of the 4th Berkeley Symposium on Probability and Statistics 1. Berkeley: Univ. of Calif. Press , 361-279.
[5] Jobson, J. D., and B. Korkie. (1980) , “Estimation for Markowitz Efficient Portfolios.” Journal of the American Statistical Association, 75 , 544-554.
[6] Jorion, P. (1985) , “International Portfolio Diversification with Estimation Risk.” Journal of Business, 58 , 259-278.
[7] Jorion, P. (1986) , “Bayes-Stein Estimation for Portfolio Analysis.” Journal of Financial and Quantitative Analysis, 21 , 279-292.
[8] Lee, C. F., Finnerty, J. E., and Wort, D. H. (1990) , Security Analysis and Portfolio Management . Scott, Foresman/Little, Brown Higher Education .
[9] Levy, H., and Sarnat, M. (1984) , Portfolio And Investment Selection: Theory And Practice. Prentice-Hall International, Inc.
[10] Markowitz, H. M. (1959) , Portfolio Selection: Efficient Diversification of Investments. New York: Wiley and Sons.
[11] Perritt, G. W., and Lavine, A. (1989) , Diversify: The Investor’s Guide To Asset Allocations Strategies. Longman Financial Services Publishing.
[12] Reilly, F. K., and Brown, K. C. (2000) , Investment Analysis and Portfolio Management. The Dryden press.
[13] Stein, C. (1955) , “Inadmissibility of the Usual Estimator for the Mean of a Multivariate Normal Distribution.” Proceedings of the 3rd Berkeley Symposium on Probability and Statistics 1. Berkeley: Univ. of Calif. Press , 197-206.
[14] Stevenson, S. (2000) , “Bayes-Stein Estimation and International Real Estate Allocation.” Pacific Rim Real Estate Society Conference (PRRES) , Sydney. |
| Description: | 碩士
國立政治大學
國際經營與貿易研究所
92351018
93 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0923510181 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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