ON THE UNBIASED ESTIMATOR OF THE EFFICIENT FRONTIER

Olha Bodnar () and Taras Bodnar ()
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Olha Bodnar: Department of Statistics, European University Viadrina, P. O. Box 1786, Frankfurt (Oder), 15207, Germany
Taras Bodnar: Department of Statistics, European University Viadrina, P. O. Box 1786, Frankfurt (Oder), 15207, Germany

International Journal of Theoretical and Applied Finance (IJTAF), 2010, vol. 13, issue 07, 1065-1073

Abstract: In the paper, we derive an unbiased estimator of the efficient frontier. It is shown that the suggested estimator corrects the overoptimism of the sample efficient frontier documented in Siegel and Woodgate (2007). Moreover, an exact F-test on the efficient frontier is presented.

Keywords: Efficient frontier; mean-variance portfolio; parameter uncertainty (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:13:y:2010:i:07:n:s021902491000611x

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DOI: 10.1142/S021902491000611X

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