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Estimation Risk and Optimal Portfolio Choice. · Study

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ArticleEstimation Risk and Optimal Portfolio Choice.

John Matatko1980

Article1980

Estimation Risk and Optimal Portfolio Choice.

John Matatko · Vijay S. Bawa

286 citations·0/0 files stored·Journal of the Royal Statistical Society Series A (General)

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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2005Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach 2009Robust portfolios: contributions from operations research and finance 1987Gains from International Diversification: 1968-85 Returns on Portfolios of Stocks and Bonds 2018Asset pricing and ambiguity: Empirical evidence 2001The Efficient Use of Conditioning Information in Portfolios 2008Optimal Portfolio Diversification Using the Maximum Entropy Principle 1988Equilibrium pricing and portfolio composition in the presence of uncertain parameters 2009An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints

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Year1980

Typearticle

Published1980-01-01

VenueJournal of the Royal Statistical Society Series A (General)

ISSN-L0035-9238

Languageen

Citations286

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2307/2982148

openalex_workW2801616131

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