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Risk and bias in portfolio optimization
Linnaeus University, School of Business and Economics, Department of Economics and Statistics. (DISA-DSM)
Linköping University, Sweden.
2020 (English)In: Recent developments in multivariate and random matrix analysis: festschrift in honour of Dietrich von Rosen / [ed] Thomas Holgersson & Martin Singull, Springer, 2020, p. 163-173Chapter in book (Refereed)
Abstract [en]

In this paper we derive weighted squared risk measures for a commonly used Stein-type estimator of the global minimum variance portfolio. The risk functions are conveniently split in terms of variance and squared bias over different weight matrices. It is argued that the common out-of-sample variance criteria should be used with care and that a simple unweighted risk function may be more appropriate.

Place, publisher, year, edition, pages
Springer, 2020. p. 163-173
National Category
Probability Theory and Statistics
Research subject
Statistics/Econometrics
Identifiers
URN: urn:nbn:se:lnu:diva-98689DOI: 10.1007/978-3-030-56773-6_10Scopus ID: 2-s2.0-85143860200ISBN: 9783030567729 (print)ISBN: 9783030567736 (electronic)OAI: oai:DiVA.org:lnu-98689DiVA, id: diva2:1484374
Available from: 2020-10-28 Created: 2020-10-28 Last updated: 2023-05-09Bibliographically approved

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Holgersson, Thomas

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CiteExportLink to record
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Citation style
  • apa
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Output format
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