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Normative portfolio theory

delete2017-07-01
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PRE
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G
George Blazenko *
DOI：10.1016/j.irfa.2017.07.002delete
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摘要

摘要

En 中文
In this paper, we correct the adverse impact of estimation risk on both portfolio weights and performance with two new equity allocation methods we implement with estimation-free and estimated ex-ante returns. Portfolios with estimation-free ex-ante returns and systematic-to-unsystematic risk weights have statistically higher Sharpe ratios than both similar portfolios with estimated ex-ante returns and 1/N'th portfolios. Optimal portfolio methods with well-behaved weights guide investors in a way not hitherto possible (normative portfolio theory). (C) 2017 Elsevier Inc. All rights reserved.
Keyword:
Applied portfolio theory
Estimation-free ex-ante returns
Common share portfolio appeal
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对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。

期刊

International Review of Financial Analysis 封面图
International Review of Financial Analysis
IF:
9.8
论文数:
4.2K
被引数:
1.9W

机构

S
Simon Fraser University
学者数:
1.0W
论文数: 1.0W
被引数: 1.4W
T
Tunghai University
学者数:
2.3K
论文数: 2.2K
被引数: 3.2K
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