The Resampled Method To Improve The Efficient Frontier In Minimizing Estimation Error: The Case Of Malaysia Equity Portfolios
Since the work of Markowitz (1952), Mean-Variance (MV) analysis has been a central focus of financial economics. MV theory is still used as a foundation of the modern finance for asset management. Problems involving quadratic objective functions or loss functions generally incorporate a MV analys...
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| Main Author: | |
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| Format: | Thesis |
| Language: | English |
| Published: |
2006
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| Subjects: | |
| Online Access: | http://eprints.usm.my/31211/1/SITI__NURLEENA_BINTI_ABU_MANSOR.pdf http://eprints.usm.my/31211/ |
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| Summary: | Since the work of Markowitz (1952), Mean-Variance (MV) analysis has been a
central focus of financial economics. MV theory is still used as a foundation of the
modern finance for asset management. Problems involving quadratic objective
functions or loss functions generally incorporate a MV analysis.
However, estimation error is known to have huge impact on MV optimized
portfolios, which is one of the primary reasons to make standard Markowitz
optimization unfeasible in practice. Therefore, in this study we improved the efficient
frontier using a relatively new approach introduced by Michaud (1998), i.e., the
resampled efficient. Michaud argues that the limitations of MV effiCiency in practice
generally derive from a lack of statistical understanding of MV optimization. We support
his statistical view of MV optimization that leads to new procedures which can reduce
estimation error.
Bermula dengan hasil kerja Markowitz (1952), analisis "Mean-Variance" (MV)
telah menjadi fokus utama dalam analisis ekonomi kewangan. Kini, teori MV digunakan
sebagai asas dalam bidang kewangan moden bagi pengurusan asset. Permasalahan
yang melibatkan fungsi objektif kuadratik atau fungsi menyusut, secara amnya turut
menggabungkan penggunaan ailalisis MV.
Namun, ralat penganggaran memberi impak yang besar terhadap potfo!io yang
telah dioptimumkan oleh analisis MV, di mana ia merupakan salah satu sebab utama
menjadikan piawai pengoptimuman Markowitz tidak lagi dapat digunakan secara
praktikal. Oleh itu, kajian ini memperbalki sempadan cekap menggunakan pendekatan
baru yang diperkenalkan oleh Michaud (1998) iaitu pensampelan-semula cekap.
Michaud membantah penggunaan kaedah MV kerana secara praktikal batasan "MV
efficiency" wujud disebabkan oleh kurangnya pemahaman statistik daripada proses
pengoptimuman MV. Kita turut menyokong pandangannya yang seterusnya menjurus
ke arah satu kaedah baru yang boleh mengurangkan kesan ralat penganggaran. |
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