On the stability of portfolio selection models

Francesco Cesarone, Fabiomassimo Mango, Carlo Domenico Mottura, Jacopo Maria Ricci and Fabio Tardella

Journal of Empirical Finance, 2020, vol. 59, issue C, 210-234

Abstract: One of the main issues in portfolio selection models consists in assessing the effect of the estimation errors of the parameters required by the models on the quality of the selected portfolios. Several studies have been devoted to this topic for the minimum variance and for several other minimum risk models. However, no sensitivity analysis seems to have been reported for the recent popular Risk Parity diversification approach, nor for other portfolio selection models requiring maximum gain–risk ratios.

Keywords: Risk Parity; Estimation errors; Portfolio optimization; Stability measures; Profitability analysis; gain–risk ratio (search for similar items in EconPapers)
JEL-codes: C60 G10 G11 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:59:y:2020:i:c:p:210-234

DOI: 10.1016/j.jempfin.2020.10.003

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