The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Bayes-Stein Estimation for Portfolio Analysis
Abstract
In portfolio analysis, uncertainty about parameter values leads to suboptimal portfolio choices. The resulting loss in the investor's utility is a function of the particular estimator chosen for expected returns. So, this is a problem of simultaneous estimation of normal means under a well-specified loss function. In this situation, as Stein has shown, the classical sample mean is inadmissible. This paper presents a simple empirical Bayes estimator that should outperform the sample mean in the context of a portfolio. Simulation analysis shows that these Bayes-Stein estimators provide significant gains in portfolio selection problems.
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Citations
Cites
Bayes Estimates for the Linear Model
Lindley, D. V., & Smith, A. F. M. (1972) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.2517-6161.1972.tb00885.x · Cited by 2,025
Parametric empirical Bayes inference: theory and applications
Morris, C. N. (1983) · Journal of the American Statistical Association · doi:10.1080/01621459.1983.10477920 · Cited by 1,448
Stein's Estimation Rule and its Competitors—An Empirical Bayes Approach
Efron, B., & Morris, C. (1973) · Journal of the American Statistical Association · doi:10.1080/01621459.1973.10481350 · Cited by 981
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Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
DeMiguel, V., Garlappi, L., & Uppal, R. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhm075 · Cited by 3,199
Optimal Portfolio Choice with Parameter Uncertainty
Kan, R., & Zhou, G. (2007) · Journal of Financial and Quantitative Analysis · doi:10.1017/s0022109000004129 · Cited by 699
60 Years of portfolio optimization: Practical challenges and current trends
Kolm, P. N., Tütüncü, R., & Fabozzi, F. J. (2014) · European Journal of Operational Research · doi:10.1016/j.ejor.2013.10.060 · Cited by 632
Is Unbiased Financial Advice to Retail Investors Sufficient? Answers from a Large Field Study
Bhattacharya, U., Hackethal, A., Kaesler, S., Loos, B., & Meyer, S. (2012) · Review of Financial Studies · doi:10.1093/rfs/hhr127 · Cited by 383
Should investors include Bitcoin in their portfolios? A portfolio theory approach
Platanakis, E., & Urquhart, A. (2020) · The British Accounting Review · doi:10.1016/j.bar.2019.100837 · Cited by 265
Metadata
- Authors
- Jorion, P.
- Venue
- The Journal of Financial and Quantitative Analysis
- Publisher
- JSTOR
- Published
- 1986-09
- Volume
- 21
- Issue
- 3
- Pages
- 279
- ISSN
- 0022-1090 (ISSN-L)
- OpenAlex
- W2140917889
- Cited by
- 952
- References
- 3
- FWCI
- 1.16
- Type
- journal article
- Language
- en
- Open access
- closed
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