A Shrinkage Approach to Model Uncertainty and Asset Allocation

By Zhenyu Wang. 2005

131 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9ea6a66cc6a1a815d404769088c1c84bbb69f469

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Citations in the corpus

Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2004, unknown): “…“Data-and-Model” approach, if ω = 0, that is, the agent does not believe in the single-factor model, the Sharpe ratio is −0.0853; as explained in Wang (2005), the only reason that this is not the same as that for the mean-variance portfolio is because of an adjustment for the degrees of…”
Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? (2009, unknown): “…following expression for the expected loss from using the samplebased mean-variance policy with estimated rather than true parameters: when 24 As in Wang (2005), we exclude the five portfolios containing the largest firms because the market, SMB, and HML are almost a linear combination of the 25…”
Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies ☆ (2011, background): “2Pástor (2000), Pástor and Stambaugh (2000), Harvey, Liechty, Liechty, and Müller (2004), Tu and Zhou (2004), and Wang (2005) are examples of recent Bayesian studies on the parameter uncertainty problem.”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, unknown): “1  +  ( (∗2  )  ≥ 0 ((2)∗)   0 − (((2)∗)− (∗2  ))  p 2(∗2  )  (193)”
Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market? (2009, unknown): “Recently, Bayesian studies such as Pastor (2000), Avramov (2004) and Wang (2005) construct portfolios incorporating informative beliefs about cross-sectional asset pricing models.5 Like the present study, these studies show that allowing models to influence portfolio selection can be superior to…”
Learning in Financial Markets (2009, background): “Other recent studies analyze portfolio choice of ambiguity-averse investors (e.g., Uppal and Wang (2003), Wang (2005), Garlappi, Uppal, and Wang (2007)).”
Model Uncertainty, Limited Market Participation and Asset Prices (2005, background): “It can be verified that Pi and Pi(y) together satisfy the generalized Bayes rule and hence the preference Equation (27) is dynamically consistent [Epstein and Schneider (2003) and Wang (2003)].”
Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection (2011, background): “…Tutuncu (2007), Goldfarb and Iyengar (2003), Garlappi et al. (2007), Rustem et al. (2000), Tutuncu and Koenig (2004)), Bayesian robust optimization (Wang (2005)), robust estimation methods (DeMiguel and Nogales (2009)), and imposing constraints (Best and Grauer (1992), Jagannathan and Ma (2003),…”