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Estimation And Selection Bias In Mean-Variance Portfolio Selection

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  • George M. Frankfurter
  • Christopher G. Lamoureux

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  • George M. Frankfurter & Christopher G. Lamoureux, 1989. "Estimation And Selection Bias In Mean-Variance Portfolio Selection," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(2), pages 173-181, June.
    • Handle: RePEc:bla:jfnres:v:12:y:1989:i:2:p:173-181
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    References listed on IDEAS

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    1. 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.
    2. Alexander, Gordon J & Resnick, Bruce G, 1985. "More on Estimation Risk and Simple Rules for Optimal Portfolio Selection," Journal of Finance, American Finance Association, vol. 40(1), pages 125-133, March.
    3. Elton, Edwin J & Gruber, Martin J, 1977. "Risk Reduction and Portfolio Size: An Analytical Solution," The Journal of Business, University of Chicago Press, vol. 50(4), pages 415-437, October.
    4. Klein, Roger W. & Bawa, Vijay S., 1977. "Abstract: The Effect of Limited Information and Estimation Risk on Optimal Portfolio Diversification," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 669-669, November.
    5. Frankfurter, George M. & Phillips, Herbert E. & Seagle, John P., 1976. "Performance of the Sharpe Portfolio Selection Model: A Comparison," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(2), pages 195-204, June.
    6. Brown, S., 1979. "The Effect of Estimation Risk on Capital Market Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(2), pages 215-220, June.
    7. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    8. Kalymon, Basil A., 1971. "Estimation Risk in the Portfolio Selection Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(1), pages 559-582, January.
    9. 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(3), pages 293-305, September.
    10. Barry, Christopher B., 1978. "Effects of Uncertain and Nonstationary Parameters upon Capital Market Equilibrium Conditions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(3), pages 419-433, September.
    11. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    12. John L. Evans & Stephen H. Archer, 1968. "Diversification And The Reduction Of Dispersion: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 23(5), pages 761-767, December.
    13. Jorion, Philippe, 1986. "Bayes-Stein Estimation for Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(3), pages 279-292, September.
    14. Frankfurter, George M & Phillips, Herbert E & Seagle, John P, 1974. "Bias in Estimating Portfolio Alpha and Beta Scores," The Review of Economics and Statistics, MIT Press, vol. 56(3), pages 412-414, August.
    15. Klein, Roger W. & Bawa, Vijay S., 1977. "The effect of limited information and estimation risk on optimal portfolio diversification," Journal of Financial Economics, Elsevier, vol. 5(1), pages 89-111, August.
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