Being Naive About Naive Diversification: Can Investment Theory Be Consistently Useful?

• المؤلفون الرئيسيون: TU, Jun, Zhou, Guofu
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2008
• الموضوعات: Portfolio choice; parameter uncertainty; shrinkage; admissibility; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/1106; https://ink.library.smu.edu.sg/context/lkcsb_research/article/2105/viewcontent/TuJun2008EFA.pdf
• المؤسسة: Singapore Management University

The modern portfolio theory pioneered by Markowitz (1952) is widely used in practice and taught in MBA texts. DeMiguel, Garlappi and Uppal (2007), however, show that, due to estimation errors, existing theory-based portfolio strategies are not as good as we once thought, and the estimation window ne...