Sample vs. Population Mean-Variance Efficient Portfolios

Sample vs. Population Mean-Variance Efficient Portfolios

It is common to use historical data in calculating the rates of return of risky options, and these data are used to calculate the mean and the variance, which are employed in the (MV) preference ranking. In this paper we study the effect of possible sampling error on the portfolio ranking. It is sho...

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Veröffentlicht in:Management Science. - Institute for Operations Research and the Management Sciences, 1954. - 26(1980), 11, Seite 1108-1116
1. Verfasser: Levy, Haim (VerfasserIn)
Weitere Verfasser: Kroll, Yoram
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 1980
Zugriff auf das übergeordnete Werk:Management Science
Schlagworte:Portfolio Theory Estimation Mathematics Social sciences Philosophy Economics
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520 |a It is common to use historical data in calculating the rates of return of risky options, and these data are used to calculate the mean and the variance, which are employed in the (MV) preference ranking. In this paper we study the effect of possible sampling error on the portfolio ranking. It is shown that in order to keep the error at a reasonable level (5 percent), one needs 50-100 observations, a number that is rarely used in the (MV) comparison of portfolios. The results are almost independent of the correlation between the portfolios. 
540 |a Copyright 1980 The Institute of Management Sciences 
650 4 |a Portfolio Theory 
650 4 |a Estimation 
650 4 |a Mathematics  |x Applied mathematics  |x Statistics  |x Error rates 
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650 4 |a Mathematics  |x Applied mathematics  |x Statistics  |x Applied statistics  |x Statistical results  |x Statistical properties  |x Statistical discrepancies  |x Sampling errors 
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