Portfolio Selection with Robust Estimation
成果类型：
Article
署名作者：
DeMiguel, Victor; Nogales, Francisco J.
署名单位：
University of London; London Business School; Universidad Carlos III de Madrid
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.1080.0566
发表日期：
2009
页码：
560-577
关键词：
摘要：
Mean-variance portfolios constructed using the sample mean and covariance matrix of asset returns perform poorly out of sample due to estimation error. Moreover, it is commonly accepted that estimation error in the sample mean is much larger than in the sample covariance matrix. For this reason, researchers have recently focused on the minimum-variance portfolio, which relies solely on estimates of the covariance matrix, and thus usually performs better out of sample. However, even the minimum-variance portfolios are quite sensitive to estimation error and have unstable weights that fluctuate substantially over time. In this paper, we propose a class of portfolios that have better stability properties than the traditional minimum-variance portfolios. The proposed portfolios are constructed using certain robust estimators and can be computed by solving a single nonlinear program, where robust estimation and portfolio optimization are performed in a single step. We show analytically that the resulting portfolio weights are less sensitive to changes in the asset-return distribution than those of the traditional portfolios. Moreover, our numerical results on simulated and empirical data confirm that the proposed portfolios are more stable than the traditional minimum-variance portfolios, while preserving (or slightly improving) their relatively good out-of-sample performance.