English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 94559/125088 (76%)
Visitors : 29773380      Online Users : 348
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/36601

    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
    Contributors: 郭炳伸
    Keywords: shrinkage estimation
    classical estimation
    portfolio selection
    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
    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

    Files in This Item:

    File SizeFormat

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback