Parameter-Based Decision Making Under Estimation Risk: An Application to Futures Trading
AbstractThis study shows how the standard portfolio model of futures trading should be modified when there is less than perfect information about the relevant parameters (estimation risk). The standard and the optimal decision rules for futures trading in the presence of estimation risk are compared and discussed. An operational model of futures trading for use under estimation risk is advanced. In the presence of relevant prior and sample information, the model can be used to optimally blend both types of information. Copyright 1994 by American Finance Association.
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Bibliographic InfoPaper provided by Iowa State University, Department of Economics in its series Staff General Research Papers with number 693.
Date of creation: 01 Mar 1994
Date of revision:
Publication status: Published in Journal of Finance, March 1994, vol. 49 no. 1, pp. 345-357
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Postal: Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070
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- Lence, Sergio H & Hayes, Dermot J, 1994. " Parameter-Based Decision Making under Estimation Risk: An Application to Futures Trading," Journal of Finance, American Finance Association, vol. 49(1), pages 345-57, March.
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- Lence, Sergio H. & Hayes, Dermot J., 1995.
"Land Allocation In The Presence Of Estimation Risk,"
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- Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.
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