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Mean-Variance Portfolio Choice with Uncertain Variance-Covariance Matrix
Wei Guo, Yichao Wang, Danping Qiu 2020-05-26
Expected returns, variances, and co-variances are key inputs of mean-variance portfolio selection problems. In traditional mean-variance portfolio models, the model uncertainty is excluded a priori. But in practice, these parameters are not known a priori and are usually estimated with error. Current researches incorporate the model uncertainty into the mean-variance framework but mainly focus on the uncertain means. The aim of this dissertation is to incorporate uncertain variance-covariance into mean-variance portfolio model via the concept of ambiguity and ambiguity aversion. The approaches developed in this study numerically compare the impact from return ambiguity and variance ambiguity. In particular, re-examine if uncertain variance-covariance can lead to “No-Participation in Stock Market” and/or “Home Bias” via stock indexes data.
이전글 | 中国地区间研发资源错配测算与影响因素分析 | 2020-05-27 |
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다음글 | Unionization Structures, Budget Constraint and Privatization | 2020-05-26 |