Optimal Portfolio Rule: When There is Uncertainty in The Parameter Estimates
The classical mean-variance model, proposed by Harry Markowitz in 1952, has been one of the most powerful tools in the field of portfolio optimization. In this model, parameters are estimated by their sample counterparts. However, this leads to estimation risk, which the model completely ignores. I...
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| Language: | en |
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2012
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| Online Access: | http://hdl.handle.net/10012/6610 |