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ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY
TLDR
It is proved that this phenomenon is natural and the estimated optimal return is always three times larger than its theoretic counterpart, where’s the ratio of the dimension to sample size, and new bootstrap‐corrected estimations are developed.
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On the Markowitz Mean-Variance Analysis of Self-Financing Portfolios
TLDR
A bootstrap estimate for the optimal return of self-financing portfolios is developed and it is proved that this estimate is consistent with its counterpart parameter.
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Making Markowitz's Portfolio Optimization Theory Practically Useful
The traditional estimated return for the Markowitz mean-variance optimization has been demonstrated to be seriously departed from its theoretic value. We prove that this phenomenon is natural and the…
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Test Statistics for Prospect and Markowitz Stochastic Dominances with Applications
Levy and Levy (2002, 2004) extend the stochastic dominance (SD) theory for risk averters and risk seekers by developing the prospect SD (PSD) and Markowitz SD (MSD) theory for investors with S‐shaped…
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A Note on the Mean-Variance Analysis of Self-Financing Portfolios
This paper extends the work of Korkie and Turtle (2002) by first proving that the traditional estimate for the optimal return of self-financing portfolios always over-estimates from its theoretic…
Empirical Analysis of Impacts of QFII Trading Strategies on Stock Returns
From the viewpoint of behavioral finance, this paper investigates the impact on stock returns of trading strategies for 70 QFII from the third quarter of 2010 to the third quarter of 2014. Firstly,…
Study on Asymptotic Properties of Eigenvectors of Large Sample Covariance Matrix
Let Sn = 1 n XnX ∗ n where Xn = {Xij} is p × n matrix with i.i.d. complex standardized entries having finite fourth moment. Different from previous literature in which eigenvalues are of interest to…
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