Markowitz Portfolio And The Blur Of History
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE(2020)
摘要
It is shown in this paper that when the true mean return vector is replaced by the inferred mean vector obtained indirectly from factor model and arbitrage pricing theory, its impact on the resulting optimal portfolio is insignificant. To achieve this goal, several assumptions are imposed: (i) the asset returns are generated from a factor model, (ii) the number of assets goes to infinity, and (iii) there is no asymptotic arbitrage opportunities. Issues related to the efficiency of the estimated optimal portfolio for high-frequency data are discussed. The portfolio constructed using the sample mean vector and using the inferred mean vector from arbitrage pricing theory are compared.
更多查看译文
关键词
Arbitrage pricing theory, blur of history, factor model, Markowitz portfolio
AI 理解论文
溯源树
样例
![](https://originalfileserver.aminer.cn/sys/aminer/pubs/mrt_preview.jpeg)
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要