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Do constraints improve portfolio performance?

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  • Grauer, Robert R.
  • Shen, Frederick C.
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-40NMT46-2/2/10f852c61d23e91989bfd81e014c555a
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    Bibliographic Info

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

    Volume (Year): 24 (2000)
    Issue (Month): 8 (August)
    Pages: 1253-1274

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    Handle: RePEc:eee:jbfina:v:24:y:2000:i:8:p:1253-1274

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    Web page: http://www.elsevier.com/locate/jbf

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Ross, Stephen A., 1974. "Portfolio turnpike theorems for constant policies," Journal of Financial Economics, Elsevier, vol. 1(2), pages 171-198, July.
    2. Best, Michael J. & Grauer, Robert R., 1992. "Positively Weighted Minimum-Variance Portfolios and the Structure of Asset Expected Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(04), pages 513-537, December.
    3. Green, Richard C, 1986. " Benchmark Portfolio Inefficiency and Deviations from the Security Market Line," Journal of Finance, American Finance Association, vol. 41(2), pages 295-312, June.
    4. Hakansson, Nils H, 1971. "On Optimal Myopic Portfolio Policies, With and Without Serial Correlation of Yields," The Journal of Business, University of Chicago Press, vol. 44(3), pages 324-34, July.
    5. Dybvig, Philip H & Ross, Stephen A, 1985. " The Analytics of Performance Measurement Using a Security Market Line," Journal of Finance, American Finance Association, vol. 40(2), pages 401-16, June.
    6. Roll, Richard, 1978. "Ambiguity when Performance is Measured by the Securities Market Line," Journal of Finance, American Finance Association, vol. 33(4), pages 1051-69, September.
    7. Grauer, Robert R, 1991. "Further Ambiguity When Performance Is Measured by the Security Market Line," The Financial Review, Eastern Finance Association, vol. 26(4), pages 569-85, November.
    8. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-78, July.
    9. Huberman, Gur & Ross, Stephen, 1983. "Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Functions," Econometrica, Econometric Society, vol. 51(5), pages 1345-61, September.
    10. Hakansson, Nils H., 1974. "Convergence to isoelastic utility and policy in multiperiod portfolio choice," Journal of Financial Economics, Elsevier, vol. 1(3), pages 201-224, September.
    11. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
    12. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-33, October.
    13. Jorion, Philippe, 1991. "Bayesian and CAPM estimators of the means: Implications for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 15(3), pages 717-727, June.
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    Cited by:
    1. Golosnoy, Vasyl & Okhrin, Yarema, 2008. "General uncertainty in portfolio selection: A case-based decision approach," Journal of Economic Behavior & Organization, Elsevier, vol. 67(3-4), pages 718-734, September.
    2. Enrique Ballestero & David Pla-Santamaria, 2005. "Grading the performance of market indicators with utility benchmarks selected from Footsie: a 2000 case study," Applied Economics, Taylor & Francis Journals, vol. 37(18), pages 2147-2160.
    3. Kabir, M. Humayun & Hassan, M. Kabir & Maroney, Neal C., 2005. "International Diversification with American Depository Receipts (ADRs)," Working Papers 2005-05, University of New Orleans, Department of Economics and Finance.
    4. Kempf, Alexander & Korn, Olaf & Sa├čning, Sven, 2014. "Portfolio optimization using forward-looking information," CFR Working Papers 11-10 [rev.], University of Cologne, Centre for Financial Research (CFR).
    5. Behr, Patrick & Guettler, Andre & Miebs, Felix, 2013. "On portfolio optimization: Imposing the right constraints," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1232-1242.
    6. Behr, Patrick & Guettler, Andre & Truebenbach, Fabian, 2012. "Using industry momentum to improve portfolio performance," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1414-1423.
    7. Gabriel Frahm, 2010. "Linear statistical inference for global and local minimum variance portfolios," Statistical Papers, Springer, vol. 51(4), pages 789-812, December.

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