Optimal portfolio choice with parameter uncertainty

Journal of Financial and Quantitative Analysis

Volumn 42, Issue 3, 2007, Pages 621-656

  Kan, Raymond ^a   Zhou, Guofu ^b  

^a UNIVERSITY OF TORONTO   (Canada)

^b WASHINGTON UNIVERSITY IN ST LOUIS   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 34547586969     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0022109000004129     Document Type: Article

References (37)

1. Aït-Sahalia, Y., and M. Brandt. "Variable Selection for Portfolio Choice." Journal of Finance, 56 (2001), 1297-1351.
2. Barberis, N. "Investing for the Long Run when Returns are Predictable." Journal of Finance, 55 (2000), 225-264.
3. Bawa, V. S.; S. J. Brown; and R. W. Klein. Estimation Risk And Optimal Portfolio Choice. Amsterdam: North-Holland (1979).
4. Berger, J. O. Statistical Decision Theory and Bayesian Analysis. New York: Springer-Verlag (1985).
5. Brandt, M. "Portfolio Choice Problems." In Handbook of Financial Econometrics, Y. Ait-Sahalia and L. P. Hansen, eds. Amsterdam: Elsevier (2005).
6. Brown, S. J. "Optimal Portfolio Choice under Uncertainty." Ph.D. Diss., University of Chicago (1976).
7. Brown, S. J. "The Portfolio Choice Problem: Comparison of Certainty Equivalence and Optimal Bayes Portfolios." Communications in Statistics-Simulation and Computation, 7 (1978), 321-334.
8. Chen, R., and R. Kan. "Finite Sample Analysis of Two-Pass Cross-Sectional Regressions." Working Paper, University of Toronto (2004).
9. Chopra, V. K., and W. T. Ziemba. "The Effects of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice." Journal of Portfolio Management, 19 (1993), 6-11.
10. Fama, E. F., and K. R. French. "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics, 33 (1993), 3-56.
11. Fourdrinier, D.; A. Philippe; and C. P. Robert. "Estimation of a Non-Centrality Parameter under Stein-Type-Like Losses." Journal of Statistical Planning and Inference, 87 (2000), 43-54.
12. Frost, P. A., and J. E. Savarino. "An Empirical Bayes Approach to Efficient Portfolio Selection." Journal of Financial and Quantitative Analysis, 21 (1986), 293-305.
13. Garlappi, L.; R. Uppal; and T. Wang. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach." Review of Financial Studies, 20 (2007), 41-81.
14. Haff, L. R. "An Identity for the Wishart Distribution with Applications." Journal of Multivariate Analysis, 9 (1979), 531-544.
15. Harvey, C. R.; J. Liechty; M. Liechty; and P. Müller. "Portfolio Selection with Higher Moments." Working Paper, Duke University (2003).
16. Jobson, J. D.; B. Korkie; and V. Ratti. "Improved Estimation for Markowitz Portfolios Using James-Stein Type Estimators." Proceedings of the American Statistical Association, Business and Economics Statistics Section, 41 (1979), 279-284.
17. Jorion, P. "Bayes-Stein Estimation for Portfolio Analysis." Journal of Financial and Quantitative Analysis, 21 (1986), 279-292.
18. Jorion, P. "Bayesian and CAPM Estimators of the Means: Implications for Portfolio Selection." Journal of Banking and Finance, 15 (1991), 717-727.
19. Kacperczyk, M. "Asset Allocation under Distribution Uncertainty." Working Paper, University of British Columbia (2004).
20. Kandel, S., and R. F. Stambaugh. "On the Predictability of Stock Returns: An Asset-Allocation Perspective." Journal of Finance, 51 (1996), 385-424.
21. Klein, R. W., and V. S. Bawa. "The Effect of Estimation Risk on Optimal Portfolio Choice." Journal of Financial Economics, 3 (1976), 215-231.
22. Kubokawa, T.; C. P. Robert; and A. K. Md. E. Saleh. "Estimation of Noncentrality Parameters." Canadian Journal of Statistics, 21 (1993), 45-57.
23. Litterman, B. Modern Investment Management: An Equilibrium Approach. New York: Wiley (2003).
24. Lutgens, F. "Robust Portfolio Optimization." Ph.D. Diss., University of Maastricht (2004).
25. Markowitz, H. M. "Mean-Variance Analysis in Portfolio Choice and Capital Markets." Journal of Finance, 7 (1952), 77-91.
26. Meucci, A. Risk and Asset Allocation. New York: Springer-Verlag (2005).
27. Mori, H. "Finite Sample Properties of Estimators for the Optimal Portfolio Weight." Journal of Japan Statistical Society, 34 (2004), 27-46.
28. Muirhead, R. J. Aspects of Multivariate Statistical Theory. New York: Wiley (1982).
29. Pastor, L. "Portfolio Selection and Asset Pricing Models." Journal of Finance, 55 (2000), 179-223.
30. Pastor, L., and R. F. Stambaugh. "Comparing Asset Pricing Models: An Investment Perspective." Journal of Financial Economics, 56 (2000), 335-381.
31. Rukhin, A. L. "Estimation of the Noncentrality Parameter of an F -Distribution." Journal of Statistical Planning and Inference, 35 (1993), 201-211.
32. Stambaugh, R. F. "Analyzing Investments Whose Histories Differ in Length." Journal of Financial Economics, 45 (1997), 285-331.
33. Stein, C. "Inadmissibility of the Usual Estimator for the Mean of a Multivariate Normal Distribution." Proceedings of the Third Berkeley Symposium on Mathematical Statistics and Probability, 1 (1956), 197-206.
34. ter Horst, J. R.; F. A. de Roon; and B. J. M. Werkerzx. "Incorporating Estimation Risk in Portfolio Choice." Working Paper, Tilburg University (2002).
35. Tu, J., and G. Zhou. "Data-Generating Process Uncertainty: What Difference Does It Make in Portfolio Decisions?" Journal of Financial Economics, 72 (2003), 385-421.
36. Xia, Y. "Learning about Predictability: The Effect of Parameter Uncertainty on Dynamic Asset Allocation." Journal of Finance, 56 (2001), 205-246.
37. Zellner, A., and V. K. Chetty. "Prediction and Decision Problems in Regression Models from the Bayesian Point of View." Journal of the American Statistical Association, 60 (1965), 608-616.