Risk and Bias in Portfolio Optimization

Thomas Holgersson () and Martin Singull ()
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Thomas Holgersson: Linnaeus University, Department of Economics and Statistics
Martin Singull: Linköping University, Department of Mathematics

Chapter Chapter 10 in Recent Developments in Multivariate and Random Matrix Analysis, 2020, pp 163-173 from Springer

Abstract: Abstract In this paper we derive weighted squared risk measures for a commonly used Stein-type estimator of the global minimum variance portfolio. The risk functions are conveniently split in terms of variance and squared bias over different weight matrices. It is argued that the common out-of-sample variance criteria should be used with care and that a simple unweighted risk function may be more appropriate.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-56773-6_10

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DOI: 10.1007/978-3-030-56773-6_10

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