eprintid: 37242
rev_number: 7
eprint_status: archive
userid: 12397
dir: disk0/00/03/72/42
datestamp: 2020-01-07 06:30:07
lastmod: 2020-01-07 06:30:07
status_changed: 2020-01-07 06:30:07
type: article
metadata_visibility: show
contact_email: epha.diana@uin-suka.ac.id
creators_name: Supandi, Epha Diana
creators_name: Rosadi, Dedi
creators_name: Abdurakhman, Abdurakhman
title: THE OPTIMAL PORTFOLIO WEIGHTS USING THE PROPORTIONAL TYPE ESTIMATORS
ispublished: pub
subjects: Matematika
divisions: artkl
full_text_status: public
keywords: Portfolio, error estimation, loss function
note: Prof Dedi Rosadi, Ph.D. UGM. Yogyakarta. Indonesia
Dr. Abdurakhman, M.Si. UGM. Yogyakarta. Indonesia
abstract: Error estimation in both the expected returns and the covariance matrix hamper the construction of optimal mean-variance portfolio model. In order to overcome this problem, we consider the class of proportional type estimators. The sensitivity of the proposed estimators to errors is measured by the expected loss function (the risk function). The simulation study is conducted when multivariate returns are normally distributed and serially independent. Furthermore, simulation study is complemented by an investigation of the ex post excess returns for empirical datasets, i.e., average, standard deviation, Sharpe ratio, and utility. It turns out that the unbiased proportional estimator and the maximum likelihood estimator are underperformed compared to “the dominant” estimator.
date: 2017-07-01
date_type: published
publication: Far East Journal of Mathematical Sciences
volume: 101
number: 3
publisher: Pushpa Publishing House, Allahabad, India
pagerange: 643-657
id_number: http://dx.doi.org/10.17654/MS101030643
refereed: TRUE
issn: ISSN: 0972-0871
official_url: http://www.pphmj.com
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citation:   Supandi, Epha Diana and Rosadi, Dedi and Abdurakhman, Abdurakhman  (2017) THE OPTIMAL PORTFOLIO WEIGHTS USING THE PROPORTIONAL TYPE ESTIMATORS.  Far East Journal of Mathematical Sciences, 101 (3).  pp. 643-657.  ISSN ISSN: 0972-0871     
document_url: https://digilib.uin-suka.ac.id/id/eprint/37242/1/Far%20East%20Journal.pdf