Risk Preferences and Estimation Risk in Portfolio Choice
Download full text from publisher
References listed on IDEAS
- repec:hal:journl:peer-00741629 is not listed on IDEAS
- Ravi Jagannathan & Tongshu Ma, 2003.
"Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps,"
Journal of Finance,
American Finance Association, vol. 58(4), pages 1651-1684, August.
- Ravi Jagannathan & Tongshu Ma, 2002. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," NBER Working Papers 8922, National Bureau of Economic Research, Inc.
- Kan, Raymond & Zhou, Guofu, 2007. "Optimal Portfolio Choice with Parameter Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(03), pages 621-656, September.
- Frahm, Gabriel & Memmel, Christoph, 2010.
"Dominating estimators for minimum-variance portfolios,"
Journal of Econometrics,
Elsevier, vol. 159(2), pages 289-302, December.
- Gabriel Frahm & Christoph Memmel, 2010. "Dominating Estimators for Minimum-Variance Portfolios," Post-Print hal-00741629, HAL.
- Jorion, Philippe, 1986. "Bayes-Stein Estimation for Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(03), pages 279-292, September.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Alexander Kempf & Christoph Memmel, 2006. "Estimating the global Minimum Variance Portfolio," Schmalenbach Business Review (sbr), LMU Munich School of Management, vol. 58(4), pages 332-348, October.
More about this item
Keywordsefficient portfolio; estimation risk; certainty equivalent; shrinkage;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-31 (All new papers)
- NEP-CSE-2013-08-31 (Economics of Strategic Management)
- NEP-ECM-2013-08-31 (Econometrics)
- NEP-RMG-2013-08-31 (Risk Management)
- NEP-UPT-2013-08-31 (Utility Models & Prospect Theory)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rim:rimwps:47_13. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marco Savioli). General contact details of provider: http://edirc.repec.org/data/rcfeait.html .