دانلود رایگان مقاله نظریه میانگین واریانس با اطلاعات حسابداری غیردقیق

Abstract

In this paper, we examine the impact of imprecise accounting information on optimal portfolio choice in the mean-variance sense. We provide a theoretical platform illustrating the exact way in which imprecise return errors affect portfolio choice and alter the optimal vector of weights. We demonstrate that the covariance between actual return and return error could partly offset the impact of low-quality information on variance-covariance matrix. This is in agreement with empirical evidence suggesting that optimal portfolio weights are highly sensitive to small estimation errors in expected returns, but they are less sensitive with respect to errors in return variance estimates.

4. Conclusion

We recast the Markowitz efficient frontier by allowing an imperfect information set. We demonstrate how imprecise information return errors affect optimal portfolio choice. As the influence of low-quality information rises, the distinction between the prefect information and the imprecise information (observed) efficient frontier turns larger, moving investors away from an optimal portfolio choice. This hurts the benefit of using the classical mean-variance theory in practice. Consistent with the estimation error literature, we find that with an imprecise information set expected return errors play a more significant role in affecting optimal weights than the role played by imprecise return variance estimates.