%0 Journal Article %1 simaan2014sampling %A Simaan, Majeed %A Simaan, Yusif %A Tang, Yi %D 2014 %I SSRN %J SSRN eLibrary %K Markowitz Portfolio quantfinance %R 10.2139/ssrn.2495621 %T The Sampling Distribution of the Mean-Variance Efficient Frontier and the Optimal Fisher Information Portfolio %X Assuming that the assets returns are normally distributed with a known covariance matrix, we derive a joint sampling distribution for the estimated optimal portfolio as well as for its mean and risk return. We show that the estimation error increases with the investor’s risk tolerance and the number of assets within the portfolio, while it decreases with the sample size. In addition, by deriving the portfolio joint distribution, we propose a new portfolio based on two step optimization framework that outperforms the conventional portfolio for high levels of estimation error. Moreover, we show that the proposed portfolio achieves a lower opportunity cost than the conventional one.

@article{simaan2014sampling, abstract = {Assuming that the assets returns are normally distributed with a known covariance matrix, we derive a joint sampling distribution for the estimated optimal portfolio as well as for its mean and risk return. We show that the estimation error increases with the investor’s risk tolerance and the number of assets within the portfolio, while it decreases with the sample size. In addition, by deriving the portfolio joint distribution, we propose a new portfolio based on two step optimization framework that outperforms the conventional portfolio for high levels of estimation error. Moreover, we show that the proposed portfolio achieves a lower opportunity cost than the conventional one.}, added-at = {2015-03-24T21:06:32.000+0100}, author = {Simaan, Majeed and Simaan, Yusif and Tang, Yi}, biburl = {https://www.bibsonomy.org/bibtex/2028fe7cf6994a5f05a470c5ca184194a/shabbychef}, description = {The Sampling Distribution of the Mean-Variance Efficient Frontier and the Optimal Fisher Information Portfolio by Majeed Simaan, Yusif Simaan, Yi Tang :: SSRN}, doi = {10.2139/ssrn.2495621}, interhash = {f0ba2cbf19813141c35ca8ff3ff8dd23}, intrahash = {028fe7cf6994a5f05a470c5ca184194a}, journal = {SSRN eLibrary}, keywords = {Markowitz Portfolio quantfinance}, language = {English}, location = {http://ssrn.com/paper=2495621}, publisher = {SSRN}, timestamp = {2015-03-24T21:06:32.000+0100}, title = {{The Sampling Distribution of the Mean-Variance Efficient Frontier and the Optimal Fisher Information Portfolio}}, type = {Working Paper Series}, year = 2014 }