Estimation Risk and Portfolio Selection

This paper presents a new approach to incorporate estimation risk into mean-variance portfolio selection. The key contribution of our analysis is that we model the estimation risk as a second, independent source of risk.

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Alternative title:	Einschätzung der Risiko- und Portfolioauswahl
Year of publication:	2001
Authors:	Kempf, Alexander ; Kreuzberg, Klaus ; Memmel, Christoph
Publisher:	Universität <Köln> / Seminar für Allgemeine Betriebswirtschaftslehre und Finanzierungslehre
Subject:	Risikoanalyse \| Portfolio Selection \| Risikomanagement \| risk management \| Portfoliomanagement \| portfolio management \| Minimum-Varianz-Portfolio

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Extent:	145408 bytes 8 p. application/pdf
Series:	Universität Köln - Seminar für Allgemeine Betriebswirtschaftslehre und Finanzierungslehre - Veröffentlichungen
Type of publication:	Book / Working Paper
Language:	English
Classification:	Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)