THE EFFECT OF ERRORS IN MEANS, VARIANCES, AND COVARIANCES ON OPTIMAL PORTFOLIO CHOICE
THE EFFECT OF ERRORS IN MEANS, VARIANCES, AND COVARIANCES ON OPTIMAL PORTFOLIO CHOICE
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DOI：
10.3905/jpm.1993.409440
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发表时间：
1993-12-01
影响因子：
1.4
通讯作者：
ZIEMBA, WT
中科院分区：
文献类型：
--
作者：
CHOPRA, VK;ZIEMBA, WT
分析师应如何分配资源来估计均值/方差投资组合选择问题中的均值、方差和协方差？有证据表明，均值错误的破坏性是方差错误的十倍以上，是协方差错误的二十倍以上。此外，在风险承受能力较高的情况下，均值误差的相对影响甚至更大。因此，重点应该是获得最佳均值估计，然后是良好的方差估计，然后是良好的协方差估计。
How should an analyst allocate resources to estimate means, variances, and covariances in mean/variance portfolio selection problems? Evidence indicates that errors in means are over ten times as damaging as errors in variances, and over twenty times as damaging as errors in covariances. Moreover, the relative impact of errors in means is even greater at higher risk tolerances. Hence, the emphasis should be on obtaining the best mean estimates, followed by good variance estimates, followed by decent covariance estimates.