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ArticleBayesian and CAPM estimators of the means: Implications for portfolio selection

Philippe Jorion1991

Article1991

Bayesian and CAPM estimators of the means: Implications for portfolio selection

Philippe Jorion

238 citations·0/0 files stored·Journal of Banking & Finance

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

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References

1959Portfolio Selection: Efficient Diversification of Investments 1980On estimating the expected return on the market 1983International Portfolio Choice and Corporation Finance: A Synthesis 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows 1986Bayes-Stein Estimation for Portfolio Analysis 1981Performance Hypothesis Testing with the Sharpe and Treynor Measures 1985International Portfolio Diversification with Estimation Risk 1980Estimation for Markowitz Efficient Portfolios

Cited by

2012It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification 2005Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach 2009Robust portfolios: contributions from operations research and finance 2000Asset Pricing Models: Implications for Expected Returns and Portfolio Selection 2010In Defense of Optimization: The Fallacy of 1/ N 2014

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Year1991

Typearticle

Published1991-06-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations238

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0378-4266(91)90094-3

openalex_workW2017808917

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