Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio
Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio
About this item
Full title
Author / Creator
Publisher
Linthicum: INFORMS
Journal title
Language
English
Formats
Publication information
Publisher
Linthicum: INFORMS
Subjects
More information
Scope and Contents
Contents
We address the problem of poor portfolio performance when a minimum-variance portfolio is constructed using the sample estimates. Estimation errors are mostly blamed for the poor portfolio performance. However, we argue that even small unbiased estimation errors can lead to significantly bad performance because the optimization step amplifies error...
Alternative Titles
Full title
Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio
Authors, Artists and Contributors
Author / Creator
Identifiers
Primary Identifiers
Record Identifier
TN_cdi_jstor_primary_27295915
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_jstor_primary_27295915
Other Identifiers
ISSN
0030-364X
E-ISSN
1526-5463
DOI
10.1287/opre.2019.1858
