Weight shrinkage for portfolio optimization
Weight shrinkage for portfolio optimization
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权重缩减以优化投资组合
DOI：
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发表时间：
2011
期刊：
影响因子：
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通讯作者：
I. Pollak
中科院分区：
文献类型：
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作者：
I. Pollak
本文首先回顾了现代投资组合理论的基础知识及其众所周知的缺陷。在简要回顾了现有的解决这些缺陷的文献之后，提出了一种新的投资组合混合方法。然后，该方法用美国股市数据进行了说明，结果表明，该方法的表现优于这两个组合的投资组合，在统计学上具有显著意义。最后总结了进一步研究的几个方向。
The paper starts by reviewing the basics of the modern portfolio theory and its very well known drawbacks. After a brief overview of the existing literature that attempts to address these drawbacks, a novel portfolio mixing method is proposed. The method is then illustrated using US stock market data, and is shown to outperform both portfolios that it combines in a statistically significant way. Several avenues of further research are summarized to conclude the paper.