Estimation Risk Modeling in Optimal Portfolio Selection: An Empirical Study from Emerging Markets

Table 3

Portfolio Performance of Alternative Estimation Methods: Expected Utility.

Strategy	Expected Utility
	Total period (TP)			Subperiod 1 (SP1)			Subperiod 2 (SP2)
	𝐴=0.5	𝐴=1	𝐴=2	𝐴=0.5	𝐴=1	𝐴=2	𝐴=0.5	𝐴=1	𝐴=2
Mean-Variance	0.00553	0.00196	−0.00265	0.00452	0.00021	−0.00641	0.01683	0.01376	0.00865
AB	−0.00052	−0.00076	−0.00125	−0.00546	−0.00607	−0.00691	0.00627	0.00577	0.00511
REF	0.00445	0.00088	−0.00368	0.00239	−0.00206	−0.00820	0.01317	0.01083	0.00669
CAPM	−0.00048	−0.00072	−0.00118	−0.00419	−0.00494	−0.00593	0.00658	0.00594	0.00512
SIM	0.00603	−0.00149	−0.01288	0.00721	−0.00157	−0.01845	0.0169	0.0135	0.00669
BSIM	0.06309^∗	0.05967^∗	0.05283^∗	0.06488^∗	0.06001^∗	0.05026^∗	0.06736^∗	0.06547^∗	0.06170^∗

∗denotes the highest Expected Utility given three different risk aversion level (𝐴), 𝐴 = 0.5,1, and 2, compared among different portfolio strategies.