美国杜克大学课件：全球资产配置与股票选择：估计错误和组合优化 Global Asset Allocation and Stock Selection：Estimation Error and Portfolio Optimization.pptVIP

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美国杜克大学课件：全球资产配置与股票选择：估计错误和组合优化 Global Asset Allocation and Stock Selection：Estimation Error and Portfolio Optimization.ppt

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Estimation Error and Portfolio Optimization Global Asset Allocation and Stock SelectionCampbell R. HarveyDuke University, Durham, NC USANational Bureau of Economic Research, Cambridge MA USA+1 919.660.7768 office || +1 919.271.8156 mobile :// duke.edu/~charvey MotivationThe Markowitz Mean-Variance Efficiency is the standard optimization framework for modern asset management.Given the expected returns, standard deviations and correlations of assets (along with constraints), the optimization procedure solves for the set of portfolio weights that has the lowest risk for a given level of portfolio expected returns.Standard algorithms (linear programming/quadratic programming) are available to compute the efficient frontier with or without short-selling/borrowing constraints. MotivationA number of objections to MV Efficiency have been raised:Investor Utility: Utility might involve preferences for more than means and variances and might be a complex function.Multi-period framework: The one-period nature of static optimization does not take dynamic factors into account.Liabilities: Little attention is given to the liability side.Instability and Ambiguity: Small changes in input assumptions often imply large changes in the optimized portfolio. The MVE procedure overuses statistically estimated information and magnifies estimation errors.Jorion (1992, Financial Analyst Journal) addresses “Portfolio Optimization in Practice〞 and proposes the first resampling method. MotivationRichard Michaud (1998) has built a business around resampling. Implemented in Northfield optimizers.Ibbotson Associates also uses a resampling technique The Procedure The procedure described below has U.S. Patent #6,003,018 by Michaud et al., December 19, 1999.Estimate the expected returns and the variance-covariance matrix (?) [say, the MLE (average) or using Bayesian techniques]. Suppose there are m assets.Solve for the minimum-variance portfolio. Call the expected return of this port