Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 6, 2012 erstellt
Description:
This paper proposes a bootstrap procedure for estimating the risk minimizing decision rule from within a parameterized family of rules. The procedure is conceptually simple and applicable to a broad class of decision problems involving parameter uncertainty. Moreover, when applied to Markowitz's (1952) model of portfolio selection — a leading example in which parameter uncertainty arises — it is shown to be capable of generating decision rules with lower risk than estimators derived from conventional methods. Theoretical results establishing the asymptotic optimality of the procedure are also presented