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The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights.
- Source :
- Journal of Finance (Wiley-Blackwell); Apr99, Vol. 54 Issue 2, p655-671, 17p, 1 Chart, 1 Graph
- Publication Year :
- 1999
-
Abstract
- This paper presents an exact finite-sample statistical procedure for testing hypotheses about the weights of mean-variance efficient portfolios. The estimation and inference procedures on efficient portfolio weights are performed in the same way as for the coefficients in an OLS regression. OLS t- and F-statistics can be used for tests on efficient weights, and when returns are multivariate normal, these statistics have exact t and F distributions in a finite sample. Using 20 years of data on 11 country stock indexes, we find that the sampling error in estimates of the weights of a global efficient portfolio is large. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00221082
- Volume :
- 54
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Journal of Finance (Wiley-Blackwell)
- Publication Type :
- Academic Journal
- Accession number :
- 1860988
- Full Text :
- https://doi.org/10.1111/0022-1082.00120