Optimal Portfolio Diversification: Empirical Bayes Versus Classical Approach

doi:10.1057/jors.1993.187

UM > Faculty of Business Administration > DEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT

Residential College	false
Status	已發表Published
	Optimal Portfolio Diversification: Empirical Bayes Versus Classical Approach
	TAK-KEE HUI 1; EDMONDK KWAN 2; CHANG-BOON LEE1
	1993-11
Source Publication	JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY
ABS Journal Level	3
ISSN	0160-5682
Volume	44 Issue:11 Pages:1145-1153
Abstract	This study extends the research on international portfolio diversification with estimation risk. The model suggested by Jorion is used to derive the predictive distribution of future returns. The estimator is then compared with the classical one for both with and without short sales. It is found that the improvement for various optimal portfolios is greater for the case of short sales than the case of no short sales.
Keyword	Portfolio Diversification Short Sales Empirical Bayes Estimation Risk
DOI	10.1057/jors.1993.187
Indexed By	SCIE ; SSCI
Language	英語English
WOS Research Area	Business & Economics ; Operations Research & Management Science
WOS Subject	Management ; Operations Research & Management Science
WOS ID	WOS:A1993MG56000009
Scopus ID	2-s2.0-84974861638
Fulltext Access	View Full-Text via DOI View Full-Text via Web of Science
Citation statistics
Document Type	Journal article
Collection	DEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT
Affiliation	1.Faculty of Business Administration, National University of Singapore 2.College of Business Administration California State University, USA
Recommended Citation GB/T 7714	TAK-KEE HUI,EDMONDK KWAN,CHANG-BOON LEE. Optimal Portfolio Diversification: Empirical Bayes Versus Classical Approach[J]. JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 1993, 44(11), 1145-1153.
APA	TAK-KEE HUI., EDMONDK KWAN., & CHANG-BOON LEE (1993). Optimal Portfolio Diversification: Empirical Bayes Versus Classical Approach. JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 44(11), 1145-1153.
MLA	TAK-KEE HUI,et al."Optimal Portfolio Diversification: Empirical Bayes Versus Classical Approach".JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY 44.11(1993):1145-1153.

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