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Estimation Risk and Optimal Portfolio Choice.
0 references·16 citing·56 second hopsampled
Estimation Risk and Optimal Portfolio Choice. (1980)Estimation Risk and Optimal Portfolio Cho…Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case (2021)Optimal Portfolio Choice with…Asset pricing and ambiguity: Empirical evidence (2018)Asset pricing and ambiguity: …Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy? (2015)Hedging with Futures: Does An…Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection (2011)Size Matters: Optimal Calibra…Bayesian Portfolio Analysis (2010)Bayesian Portfolio AnalysisRobust portfolios: contributions from operations research and finance (2009)Robust portfolios: contributi…An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints (2009)An Exact Solution Approach fo…Predictable returns and asset allocation: Should a skeptical investor time the market? 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  • 2005Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach264 cited
  • 2009Robust portfolios: contributions from operations research and finance246 cited
  • 1987Gains from International Diversification: 1968-85 Returns on Portfolios of Stocks and Bonds215 cited
  • 2018Asset pricing and ambiguity: Empirical evidence213 cited
  • 2001The Efficient Use of Conditioning Information in Portfolios212 cited
  • 2008Optimal Portfolio Diversification Using the Maximum Entropy Principle211 cited
  • 1988Equilibrium pricing and portfolio composition in the presence of uncertain parameters204 cited
  • 2009An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints199 cited
  • 2010Bayesian Portfolio Analysis178 cited
  • 2007Comparing density forecast models154 cited
  • 2011Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection152 cited
  • 2008Is PIN priced risk?149 cited
  • 2008Predictable returns and asset allocation: Should a skeptical investor time the market?131 cited
  • 2015Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?119 cited

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  • 2006Estimating the Global Minimum Variance Portfolio119 cited
  • 2021Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case115 cited