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J4  2004, Vol. 1 Issue (3): 298-    DOI:
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Improvement of Portfolio Management Based on Stein Rule
 LI Jian-Fu, ZENG Yong
University of Electronic Science and Technology of China, Chengdu, China

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Abstract  

By taking the weight of mean-variance model as the sample information and taking the weight of market portfolio as the non-sample information,the shrinking intensity of investment weight was studied by Stein rule. The combination of the active portfolio management with passive portfolio one was realized. The test verified that Stein rule portfolio management model could get better performance than the classical mean-variance model when the performance was forecasted in the field of portfolio management.

Key wordsportfolio management      Stein rule      investment weight      shrinking intensity     
Received: 29 July 2004     
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LI Jian-Fu
ZENG Yong
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LI Jian-Fu,ZENG Yong. Improvement of Portfolio Management Based on Stein Rule[J]. J4, 2004, 1(3): 298-.
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http://manu68.magtech.com.cn/Jwk_glxb/EN/     OR     http://manu68.magtech.com.cn/Jwk_glxb/EN/Y2004/V1/I3/298
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