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

• Main Authors: TU, Jun, Zhou, Guofu
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2008
• 主題: Portfolio choice; parameter uncertainty; shrinkage; admissibility; Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/1106; https://ink.library.smu.edu.sg/context/lkcsb_research/article/2105/viewcontent/TuJun2008EFA.pdf

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...