JSM 2004 Online Program

Abstract #301783

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Activity Number:	84
Type:	Contributed
Date/Time:	Monday, August 9, 2004 : 8:30 AM to 10:20 AM
Sponsor:	Business and Economics Statistics Section
Abstract - #301783
Title:	Statistical Estimation Error and Risk Aversion in Portfolio Formation
Author(s):	Andrew F. Siegel*+
Companies:	University of Washington
Address:	Dept. of Management Science, Seattle, WA, 98195-3200,
Keywords:
Abstract:	The presence of statistical estimation error in the parameters of the asset returns distribution leads to loss of von Neumann-Morgenstern utility in the portfolio formation problem with n assets because the optimal portfolio cannot be constructed using available information. This economic loss may be interpreted as the appropriate statistical loss function that should be used when choosing a statistical estimator to be used in conjunction with portfolio formation. Asymptotic properties of this approach are studied using the delta method in the case of quadratic utility.

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