| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6170 |
| DP6170 Sin City? | |
| Coen N. Teulings; Pieter A. Gautier; Michael Svarer | |
| 发表日期 | 2007-03-09 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We consider mean-variance portfolio choice of a robust investor. The investor receives advice from J experts, each with a different prior for the distribution of returns. Confronted with these multiple priors the investor follows a min-max portfolio strategy. We study the structure of the robust mean-variance portfolio and empirically compare its performance with a variety of alternative portfolio strategies. The empirical tests are based on bootstrap simulations on the 25 Fama-French portfolios and on 81 European country and value portfolios. We find that the robust portfolio performs well in both settings. Robust portfolios do not exhibit the extreme weights typically observed in naive mean-variance portfolios. Robust portfolios are also better diversified than portfolios that impose short-sell constraints to suppress the symptoms of extreme weights. |
| 主题 | Financial Economics |
| 关键词 | Mean-variance Model uncertainty Portfolio choice |
| URL | https://cepr.org/publications/dp6170 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535008 |
| 推荐引用方式 GB/T 7714 | Coen N. Teulings,Pieter A. Gautier,Michael Svarer. DP6170 Sin City?. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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