More on Estimation Risk and Simple Rules for Optimal Portfolio Selection
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Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 40 (1985)
Issue (Month): 1 (March)
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- Walsh, David M. & Walsh, Kathleen D. & Evans, John P., 1998. "Assessing estimation error in a tracking error variance minimisation framework," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 175-192, May.
- Cédric Perret-Gentil & Maria-Pia Victoria-Feser, 2005. "Robust Mean-Variance Portfolio Selection," FAME Research Paper Series rp140, International Center for Financial Asset Management and Engineering.
- Kwan, Clarence C. Y., 1995. "Optimal portfolio selection under institutional procedures for short selling," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 871-889, August.
- Cédric Perret-Gentil & Maria-Pia Victoria-Feser, 2003. "Robust Mean-Variance Portfolio Selection," Research Papers by the Department of Economics, University of Geneva 2003.02, Département des Sciences Économiques, Université de Genève.
- Marquering, Wessel & Verbeek, Marno, 2004.
"The Economic Value of Predicting Stock Index Returns and Volatility,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 39(02), pages 407-429, June.
- Marquering, W.A. & Verbeek, M.J.C.M., 2001. "The Economic Value of Predicting Stock Index Returns and Volatility," ERIM Report Series Research in Management ERS-2001-75-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
- Wessel Marquering & Marno Verbeek, 2000. "The Economic Value of Predicting Stock Index Returns and Volatility," Center for Economic Studies - Discussion papers ces0020, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
- Marquering, W. & Verbeek, M.J.C.M., 2000. "The Economic Value of Predicting Stock Index Returns and Volatility," Discussion Paper 2000-78, Tilburg University, Center for Economic Research.
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