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A Time Series Approach to the Computation of Efficient Portfolios from Historic Data

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  • Edward Stohr

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  • Edward Stohr, 1977. "A Time Series Approach to the Computation of Efficient Portfolios from Historic Data," Discussion Papers 277, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    • Handle: RePEc:nwu:cmsems:277
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    References listed on IDEAS

    as
    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    2. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    3. Sharpe, William F., 1967. "Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(2), pages 76-84, June.
    4. 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, September.
    5. Eugene F. Fama, 1968. "Risk, Return And Equilibrium: Some Clarifying Comments," Journal of Finance, American Finance Association, vol. 23(1), pages 29-40, March.
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