The Distribution of the Sample Minimum-Variance Frontier

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Raymond Kan; Daniel R. Smith;
  • Journal: Management Science,volume 54,issue 7 July,pages1,364-1,380
  • Related identifiers: doi: 10.1287/mnsc.1070.0852
  • Subject: minimum-variance frontier, efficiency set constants, finite sample distribution

In this paper, we present a finite sample analysis of the sample minimum-variance frontier under the assumption that the returns are independent and multivariate normally distributed. We show that the sample minimum-variance frontier is a highly biased estimator of the ... View more
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