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The Reliability of Estimation Procedures in Portfolio Analysis

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  • Dickinson, J. P.
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    File URL: http://journals.cambridge.org/abstract_S0022109000017178
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 9 (1974)
    Issue (Month): 03 (June)
    Pages: 447-462

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    Handle: RePEc:cup:jfinqa:v:9:y:1974:i:03:p:447-462_01

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    Cited by:
    1. A. Craig MacKinlay & Lubos Pastor, . "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," Rodney L. White Center for Financial Research Working Papers 13-99, Wharton School Rodney L. White Center for Financial Research.
    2. Kondor, Imre & Pafka, Szilard & Nagy, Gabor, 2007. "Noise sensitivity of portfolio selection under various risk measures," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1545-1573, May.
    3. Greyserman, Alex & Jones, Douglas H. & Strawderman, William E., 2006. "Portfolio selection using hierarchical Bayesian analysis and MCMC methods," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 669-678, February.
    4. Qian, Hang, 2011. "Bayesian Portfolio Selection in a Markov Switching Gaussian Mixture Model," MPRA Paper 35561, University Library of Munich, Germany.
    5. Sandoval, Leonidas Junior & Bruscato, Adriana & Venezuela, Maria Kelly, 2012. "Building portfolios of stocks in the São Paulo Stock Exchange using Random Matrix Theory," Insper Working Papers wpe_270, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    6. Imre Kondor & Szilard Pafka & Gabor Nagy, 2006. "Noise sensitivity of portfolio selection under various risk measures," Papers physics/0611027, arXiv.org.
    7. Kempf, Alexander & Memmel, Christoph, 2005. "On the estimation of the global minimum variance portfolio," CFR Working Papers 05-02, University of Cologne, Centre for Financial Research (CFR).
    8. Leonidas Sandoval Junior & Adriana Bruscato & Maria Kelly Venezuela, 2012. "Building portfolios of stocks in the S\~ao Paulo Stock Exchange using Random Matrix Theory," Papers 1201.0625, arXiv.org, revised Mar 2013.
    9. Palczewski, Andrzej & Palczewski, Jan, 2014. "Theoretical and empirical estimates of mean–variance portfolio sensitivity," European Journal of Operational Research, Elsevier, vol. 234(2), pages 402-410.
    10. Qian, Hang, 2009. "Bayesian Portfolio Selection with Gaussian Mixture Returns," MPRA Paper 32688, University Library of Munich, Germany.

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