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Covariance complexity and rates of return on assets

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  • MacLean, Leonard C.
  • Foster, Michael E.
  • Ziemba, William T.
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-4NHV4GW-5/2/b2b01ff1fdec392146aa9b9b4388053a
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 31 (2007)
    Issue (Month): 11 (November)
    Pages: 3503-3523

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    Handle: RePEc:eee:jbfina:v:31:y:2007:i:11:p:3503-3523

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    1. A. CRAIG MacKINLAY & LUBOŠ PÁSTOR, . "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," CRSP working papers 362, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    2. Grauer, Robert R. & Hakansson, Nils H., 1995. "Stein and CAPM estimators of the means in asset allocation," International Review of Financial Analysis, Elsevier, vol. 4(1), pages 35-66.
    3. Lubos Pástor & Robert F. Stambaugh, . "Costs of Equity Capital and Model Mispricing," Rodney L. White Center for Financial Research Working Papers 4-98, Wharton School Rodney L. White Center for Financial Research.
    4. Loffler, Gunter, 2003. "The effects of estimation error on measures of portfolio credit risk," Journal of Banking & Finance, Elsevier, vol. 27(8), pages 1427-1453, August.
    5. 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.
    6. Frost, Peter A. & Savarino, James E., 1986. "An Empirical Bayes Approach to Efficient Portfolio Selection," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(03), pages 293-305, September.
    7. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
    8. Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2003. "Evolutionary Stability of Portfolio Rules in Incomplete Markets," Discussion Papers 03-03, University of Copenhagen. Department of Economics.
    9. Klein, Roger W. & Bawa, Vijay S., 1976. "The effect of estimation risk on optimal portfolio choice," Journal of Financial Economics, Elsevier, vol. 3(3), pages 215-231, June.
    10. L.C.G. Rogers, 2001. "The relaxed investor and parameter uncertainty," Finance and Stochastics, Springer, vol. 5(2), pages 131-154.
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