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The effect of limited information and estimation risk on optimal portfolio diversification · Study

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ArticleThe effect of limited information and estimation risk on optimal portfolio diversification

Roger W. Klein1977

Article1977

The effect of limited information and estimation risk on optimal portfolio diversification

Roger W. Klein · Vijay S. Bawa

174 citations·0/0 files stored·Journal of Financial Economics

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*2019Theory of games and economic behavior 1973Risk, Return, and Equilibrium: Empirical Tests 1966Equilibrium in a Capital Asset Market 1945Theory of Games and Economic Behavior 1972Essays in the Theory of Risk-Bearing.1972The capital asset pricing model: Some empirical tests 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*

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1986Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy 2001The relaxed investor and parameter uncertainty 1982Research Bibliography—Stochastic Dominance: A Research Bibliography 1992Robust Measurement of Beta Risk 1987Some Further Evidence on the Stochastic Properties of Systematic Risk 1990Empirical Estimates of Beta When Investors Face Estimation Risk

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Year1977

Typearticle

Published1977-08-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations174

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/0304-405x(77)90031-9

openalex_workW2004260074

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