JOURNAL OF THE JAPAN STATISTICAL SOCIETY
Online ISSN : 1348-6365
Print ISSN : 1882-2754
ISSN-L : 1348-6365
Articles
Finite Sample Properties of Estimators for the Optimal Portfolio Weight
Harunori Mori
Author information
JOURNAL FREE ACCESS

2004 Volume 34 Issue 1 Pages 27-46

Details
Abstract

This paper considers the problem of estimating the optimal portfolio weight to the mean-variance model in finance when parameters are unknown. For this purpose, we consider the following two classes of estimators. One is the class of proportional type estimators and the other is the class of Stein type estimators. First, we derive an unbiased estimator of the optimal portfolio weight, which belongs to the class of proportional type estimators. Second, we obtain dominance results within each class. From this, we showed that the unbiased proportional estimator and the maximum likelihood estimator are inadmissible.

Content from these authors
© 2004 Japan Statistical Society
Previous article Next article
feedback
Top