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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/62458


    Title: Estimation Risk and Optimal Portfolio Construction in a Lognormal Market
    Other Titles: 對數常態證券市場下考慮估計風險後的最適投資組合建構
    Authors: 湯美玲;陳松男;江彌修
    Tang,Mei-Ling;Chen,Son-Nan;Chiang,Mi-Hsiu
    Contributors: 金融系
    Keywords: 最適投資組合建構;對數常態資本市場;估計風險;漸進方法
    Optimal portfolio construction;Lognormal-securities market;Estimation risk;Asymptotic property
    Date: 2012-06
    Issue Date: 2013-12-13 15:03:34 (UTC+8)
    Abstract: As being in a lognormal-securities market, this study develops a simple rule in constructing optimal portfolios with regard to the situation that the probability distribution of portfolio returns does not have finite moments. By means of asymptotic properties when short sales are not allowed, the simple rule incorporating estimation risk can be derived accordingly. Our numerical example specifies optimal portfolios with estimation risk are not equivalent to those without estimation risk considered. In addition, portfolios constructed based on the simple rule are examined to present a better out-of-sample investment performance relative to its counterparty and a naive benchmark. Key words: Optimal portfolio construction, lognormal-securities market, estimation risk, asymptotic property
    Relation: Journal of Financial Studies, 20(2), 19-53
    財務金融學刊, 20(2), 19-53
    Data Type: article
    DOI link: http://dx.doi.org/10.6545/JFS.2012.20(2).2
    DOI: 10.6545/JFS.2012.20(2).2
    Appears in Collections:[Department of Money and Banking] Periodical Articles

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