Estimation Risk and Optimal Portfolio Construction in a Lognormal-Securities Market: A Simple Rule

對數常態證券市場下考慮估計風險後的最適投資組合建構

湯美玲(Mei-Ling Tang) ； 陳松男(Son-Nan Chen) ； 江彌修(Mi-Hsiu Chiang)

《財務金融學刊》 20卷2期 (2012/06) Pp. 19-53

https://doi.org/10.6545/JFS.2012.20(2).2

摘要

基於對數常態資本市場之假設，本文透過漸近方法的應用，發展出在放空限制下考量了估計風險後的簡單投資組合配置法則。本文研究顯示，估計風險的存在對於建構最適投資組合有實質的影響，無估計風險下得出的最適投資組合，不必然是存有估計風險下的最適投資組合。而本文所發展的簡單法則，能使投資組合具有較佳的樣本外績效。

關鍵字

最適投資組合建構 ； 對數常態資本市場 ； 估計風險 ； 漸進方法

並列摘要

As being in a lognormal-securities market, this study develops a simple rule in constructing optimal portfolios with regard to the situation that the probability distribution of portfolio returns does not have finite moments. By means of asymptotic properties when short sales are not allowed, the simple rule incorporating estimation risk can be derived accordingly. Our numerical example specifies optimal portfolios with estimation risk are not equivalent to those without estimation risk considered. In addition, portfolios constructed based on the simple rule are examined to present a better out-of-sample investment performance relative to its counterparty and a naïve benchmark.

並列關鍵字

Optimal portfolio construction ； lognormal-securities market ； estimation risk ； asymptotic property

參考文獻

Alexander, Gordon J.,Resnick, Bruce G.(1985).More on estimation risk and simple rules for optimal portfolio selection.Journal of Finance.40,125-133.

Barberis, Nicholas(2000).Investing for the long run when returns are predictable.Journal of Finance.55,225-264.

Bawa, Vijay S.(ed.),Brown, Stephen J.(ed.),Klein, Roger W.(ed.)(1979).Estimation Risk and Optimal Portfolio Choice.New York:North-Holland.

Bawa, Vijay S.,Chakrin, Lewis M.(1979).Optimal portfolio choice and equilibrium in a lognormal securities market.Portfolio Theory: 25 Years After, Special Studies of The Institute of Management Science.(Portfolio Theory: 25 Years After, Special Studies of The Institute of Management Science).:

Best, Michael J.,Grauer, Robert R.(1991).On the sensitivity of mean-variance-efficient portfolios to changes in asset means: Some analytical and computational results.Review of Financial Studies.4(2),315-342.