Table of Contents
Economics Research International
Volume 2010, Article ID 340181, 10 pages
http://dx.doi.org/10.1155/2010/340181
Research Article

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

1Business Division, Mahidol University International College, Nakhonpathom 73170, Thailand
2Thammasat Business School, Thammasat University, Bangkok 10200, Thailand

Received 3 March 2010; Accepted 22 June 2010

Academic Editor: Benjamin Miranda Tabak

Copyright © 2010 Sarayut Nathaphan and Pornchai Chunhachinda. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Linked References

  1. H. Markowitz, “Portfolio selection,” Journal of Finance, vol. 7, pp. 77–91, 1952. View at Google Scholar
  2. W. Sharpe, “Capital asset prices: a theory of market equilibrium under condition of risk,” Journal of Finance, vol. 19, pp. 425–442, 1964. View at Google Scholar
  3. E. J. Elton, M. Gruber, and M. Padberg, “Simple criteria for optimal portfolio selection,” Journal of Finance, vol. 31, pp. 1341–1357, 1976. View at Google Scholar
  4. R. Michaud, Efficient Asset Management, Harvard Business School Press, New York, NY, USA, 1998.
  5. A. Kraus and R. Litzenberger, “Skewness preference and the valuation of risk assets,” Journal of Finance, vol. 31, pp. 1085–1110, 1976. View at Google Scholar
  6. Y. Kroll, H. Levy, and H. Markowitz, “Mean-variance versus direct utility maximization,” Journal of Finance, vol. 39, pp. 921–931, 1984. View at Google Scholar
  7. P. Chunhachinda, K. Dandapani, S. Hamid, and A. J. Prakash, “Portfolio selection and skewness: evidence from international stock markets,” Journal of Banking and Finance, vol. 21, no. 2, pp. 143–167, 1997. View at Google Scholar · View at Scopus
  8. P. Chunhachinda, “Performance measure of global stock markets when return distributions are asymmetric,” International Journal of Business Research, vol. 12, pp. 19–37, 1997. View at Google Scholar
  9. C. M. Stein, “Confidence sets for the mean of a multivariate normal distribution,” Journal of the Royal Statistical Society. Series B, vol. 24, pp. 265–296, 1962. View at Google Scholar
  10. A. Karolyi, “A Bayesian approach to modeling stock return volatility for option valuation,” Journal of Financial and Quantitative Analysis, vol. 28, pp. 579–594, 1993. View at Google Scholar
  11. C. Barry, “Portfolio analysis under uncertain means, variances, and covariances,” Journal of Finance, vol. 29, pp. 515–522, 1974. View at Google Scholar
  12. R. W. Klein and V. S. Bawa, “The effect of estimation risk on optimal portfolio choice,” Journal of Financial Economics, vol. 3, no. 3, pp. 215–231, 1976. View at Google Scholar · View at Scopus
  13. S. Brown, “The effect of estimation risk on capital market equilibrium,” Journal of Financial and Quantitative Analysis, vol. 14, pp. 215–220, 1979. View at Google Scholar
  14. S. Chen and S. Brown, “Estimation risk and simple rules for optimal portfolio selection,” Journal of Finance, vol. 38, pp. 1087–1093, 1983. View at Google Scholar
  15. P. Jorion, “Bayes-Stein estimation for portfolio analysis,” Journal of Financial and Quantitative Analysis, vol. 21, pp. 279–292, 1986. View at Google Scholar
  16. J. Horst, F. Roon, and B. Werker, “Incorporation Estimation Risk in Portfolio Choice,” Tilburg University, Center for Economic Research Discussion Paper No. 65, 2002, http://papers.ssrn.com/sol3/paper.cfm?abstract_id=244695.
  17. H. Markowitz and N. Usmen, “Resampled frontiers versus diffuse bayes: an experiment,” Journal of Investment Management, vol. 1, pp. 9–25, 2003. View at Google Scholar
  18. R. Michaud, “A practical framework for portfolio choice,” in The World of Risk Management, H. G. Fong, Ed., World Scientific, Hackensack, NJ, USA, 2006. View at Google Scholar
  19. N. G. Polson and B. V. Tew, “Bayesian portfolio selection: an empirical analysis of the S&P 500 index 1970–1996,” Journal of Business and Economic Statistics, vol. 18, no. 2, pp. 164–173, 2000. View at Google Scholar · View at Scopus
  20. L. Pástor, “Portfolio selection and asset pricing models,” Journal of Finance, vol. 55, no. 1, pp. 179–223, 2000. View at Google Scholar · View at Scopus
  21. V. S. Bawa, J. Stephen, and R. Klein, Studies in Bayesian Econometrics: Estimation Risk and Optimal Portfolio Choice, North-Holland, New York, NY, USA, 1979.
  22. P. Frost and J. Savarino, “An empirical Bayes approach to efficient portfolio selection,” Journal of Financial and Quantitative Analysis, vol. 21, pp. 293–305, 1986. View at Google Scholar
  23. P. Jorion, “Bayesian and CAPM estimators of the means: implications for portfolio selection,” Journal of Banking and Finance, vol. 15, no. 3, pp. 717–727, 1991. View at Google Scholar · View at Scopus
  24. B. Efron and C. Morris, “Stein's estimation rule and its competitors,” Journal of American Statistics Association, vol. 68, pp. 117–130, 1973. View at Google Scholar
  25. M. Britten-Jones, “The sampling error in estimates of mean-variance efficient portfolio weights,” Journal of Finance, vol. 54, no. 2, pp. 655–671, 1999. View at Google Scholar · View at Scopus
  26. Z. He, “Incorporating alpha uncertainty into portfolio decisions: a Bayesian revisit of the Treynor-Black model,” Journal of Asset Management, vol. 8, pp. 161–175, 2007. View at Google Scholar
  27. J. L. Treynor and F. Black, “How to use security analysis to improve portfolio selection,” Journal of Business, vol. 46, pp. 66–88, 1973. View at Google Scholar