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Bayesian and CAPM estimators of the means: Implications for portfolio selection

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Jorion, Philippe

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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 15 (1991)
Issue (Month): 3 (June)
Pages: 717-727
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Handle: RePEc:eee:jbfina:v:15:y:1991:i:3:p:717-727

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  2. Van Overfelt W. & Annaert J. & De Ceuster M. & Deloof M., 2007. "Do Universal Banks Create Value? Universal Bank Affiliation and Company Performance in Belgium, 1905-1909," Working Papers 2007001, University of Antwerp, Faculty of Applied Economics. [Downloadable!]
  3. A. Craig MacKinlay & Lubos Pastor, 1999. "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," NBER Working Papers 7162, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  4. Cesare Robotti, 2003. "Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio," Working Paper 2003-6, Federal Reserve Bank of Atlanta. [Downloadable!]
  5. Michael Verhofen, 2005. "Markov Chain Monte Carlo Methods in Financial Econometrics," Financial Markets and Portfolio Management, Springer, vol. 19(4), pages 397-405, December. [Downloadable!] (restricted)
  6. Robert R. Grauer and Nils H. Hakansson., 1998. "Applying the Grinblatt-Titman and the Conditional (Ferson-Schadt) Performance Measures: The Case of Industry Rotation Via the Dynamic Investment Model," Research Program in Finance Working Papers RPF-277, University of California at Berkeley. [Downloadable!]
  7. Klaas Baks & Andrew Metrick & Jessica Wachter, . "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation," Rodney L. White Center for Financial Research Working Papers 18-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
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  8. Horst, J.R. ter & Roon, F.A. de & Werker, B.J.M., 2000. "Incorporating estimation risk in portfolio choice," Discussion Paper 65, Tilburg University, Center for Economic Research. [Downloadable!]
  9. Yarema Okhrin & Wolfgang Schmid, 2007. "Comparison of different estimation techniques for portfolio selection," AStA Advances in Statistical Analysis, Springer, vol. 91(2), pages 109-127, August. [Downloadable!] (restricted)
  10. de Roon, Frans & Eichholtz, Piet & Koedijk, Kees, 2002. "The Portfolio Implications of Home Ownership," CEPR Discussion Papers 3501, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  11. Klaas Baks & Andrew Metrick & Jessica Wachter, 1999. "Bayesian Performance Evaluation," NBER Working Papers 7069, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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