International Portfolio Diversification with Estimation Risk

By Philippe Jorion. 1985

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Citations in the corpus

It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification (2012, background): “7See Jorion (1985), (1991) for further discussion and possible solutions.”
Comprehensive Income: Who's Afraid of Performance Reporting? (2010, unknown): “The idea is that uncertainty creates a perceived estimation risk in expected returns (e.g., Klein and Bawa 1976; Jorion 1985; Xia 2001) that causes investors to demand a higher risk premium, which in turn hurts stock price.”
Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003, background): “On the 3Using monthly stock index return data for G7 countries Jorion (1985) convincingly argues that “... benefits from diversification are more likely to accrue from a reduction in risk.””
Systemic Risk and International Portfolio Choice (2004, unknown): “For λ = 0.10, which is double its estimated value, the difference in portfolio weights is 0.03 and the CEQ for an initial investment 18 An early reference to this problem is given in Jorion (1985) and Dumas and Jacquillat (1990).”
Multi-asset portfolio optimization and out-of-sample performance: an evaluation of Black–Litterman, mean-variance, and naïve diversification approaches (2017, unknown): “However, Kirby and Ostdiek (2012) question these results, suggesting that the results are mainly due to their research design and their data sets. They show that by focusing on the tangential portfolio, DeMiguel, Garlappi, and Uppal (2009) place the MV model at an inherent disadvantage in terms of t”
Cluster analysis for portfolio optimization (2005, methodology): “Here we refer to a few studies considering, for example, the real performance of portfolios constructed using sample moments (Jorion, 1985), the realized Sharpe ratio of the global minimum variance portfolio (Jagannathan and Ma, 2003), the role of constraints in portfolio optimization (Eichhorn et…”
The Economic Implications of Corporate Financial Reporting (2005, unknown): “16 See Klein and Bawa (1976), Jorion (1985), Britten-Jones (1999) and Xia (2001).”
On portfolio optimization: Imposing the right constraints (2013, unknown): “For instance, Merton (1980), Jorion (1985), and Nelson (1992) remark that variance–covariance estimates are relatively stable over time and can, hence, be predicted more reliably than expected returns.”
A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009, methodology): “…two portfolios that rely on estimates of mean returns: the traditional shortsale-unconstrained meanvariance portfolio and the Bayesian mean-variance portfolio, which is selected using the approach in Jorion (1985, 1986); both of these portfolios are computed assuming a risk aversion of = 5.”
Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2004, unknown): “These data are similar to the data considered by Jorion (1985) and De Santis and Gerard (1997) but span for a longer time period.”
Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection (2010, background): “This includes optimal shrinkage towards the grand mean (Jorion, 1985, 1986), optimal shrinkage towards the single-factor model (Ledoit and Wolf, 2003) or optimal shrinkage towards the constant correlation estimate (Ledoit and Wolf, 2004).”
Cross-Border Diversification in Bank Asset Portfolios (2004, unknown): “However, the risk-return gain is hard to determine empirically on the basis of ex-post data, in part because of measurement error; see Jorion (1985).”