THE EFFECT OF ERRORS IN MEANS, VARIANCES, AND COVARIANCES ON OPTIMAL PORTFOLIO CHOICE

被引：529

作者：

CHOPRA, VK ^{[1
]}

ZIEMBA, WT ^{[1
]}

机构：

[1] UNIV BRITISH COLUMBIA,VANCOUVER V6T 1Y8,BC,CANADA

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 1993年 / 19卷 / 02期

关键词：

D O I：

10.3905/jpm.1993.409440

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

How should an analyst allocate resources to estimate means, variances, and covariances in mean/variance portfolio selection problems? Evidence indicates that errors in means are over ten times as damaging as errors in variances, and over twenty times as damaging as errors in covariances. Moreover, the relative impact of errors in means is even greater at higher risk tolerances. Hence, the emphasis should be on obtaining the best mean estimates, followed by good variance estimates, followed by decent covariance estimates.

引用

页码：6 / 11

页数：6

共 12 条

[1]

BAWA VS, 1979, STUDIES BAYESIAN ECO

[2] ON THE SENSITIVITY OF MEAN-VARIANCE-EFFICIENT PORTFOLIOS TO CHANGES IN ASSET MEANS - SOME ANALYTICAL AND COMPUTATIONAL RESULTS [J].