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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/62458


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    題名: Estimation Risk and Optimal Portfolio Construction in a Lognormal Market
    其他題名: 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
    作者: 湯美玲;陳松男;江彌修
    Tang,Mei-Ling;Chen,Son-Nan;Chiang,Mi-Hsiu
    貢獻者: 金融系
    關鍵詞: 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
    日期: 2012-06
    上傳時間: 2013-12-13 15:03:34 (UTC+8)
    摘要: 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
    關聯: Journal of Financial Studies, 20(2), 19-53
    財務金融學刊, 20(2), 19-53
    資料類型: article
    DOI 連結: http://dx.doi.org/10.6545/JFS.2012.20(2).2
    DOI: 10.6545/JFS.2012.20(2).2
    顯示於類別:[金融學系] 期刊論文

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