Stabsseminar på fredag

Institutt for foretaksøkonomi har stabsseminar på fredag 21. november. Seminaret er ved Ravi Jagannathan fra Northwestern University, og temaet er Assessing the Risk in Mean-Variance Efficient Portfolios.

20.11.2003 - Stig Nøra

Tid: Fredag 21.november klokken 12.15-13.45

Sted: Karl Borchs Auditorium

Abstract:

We theoretically show that on average the in-sample estimate of the
out-of-sample variance of minimum risk portfolios will be optimistic.Imposing portfolio weight constraints reduce the in-sample optimism. We empirically demonstrate that scaling up the in-sample estimate by a factor that is based on the degrees of freedom of the distribution of the sample covariance matrix will in general be inadequate when the number of assets involved is relatively large. In our sample the variance of the minimum risk portfolios computed using the covariance matrix of returns under the predictive distribution using standard diffuse priors also exhibits in-sample optimism. We develop a Jackknife type estimator for the out-of-sample variance of minimum risk portfolios that is valid when returns are i.i.d or have the exchangeability
property that performs rather well in our sample.

Paper er tilgjengelig på:

http://www.nhh.no/for/seminars/2003-fall/211103.pdf

Kontaktperson: Hans K. Hvide (59283)