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The impact of estimation error on portfolio selection for investors with constant relative risk aversion

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Persistent link: https://www.econbiz.de/10001815413

Applications of Bayesian econometrics to financial economics

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The Impact of Estimation Error on Portfolio Selection for Investors with Constant Relative Risk Aversion

Bengtsson, Christoffer - 2004

This paper examines the impact of estimation error in a simple single-period portfolio choice problem when the investor has power utility and asset returns are jointly lognormally distributed. These assumptions imply that such an investor selects portfolios using a modified mean-variance...

Persistent link: https://www.econbiz.de/10013208446

The Impact of Estimation Error on Portfolio Selection for Investors with Constant Relative Risk Aversion

Bengtsson, Christoffer - Nationalekonomiska Institutionen, Ekonomihögskolan - 2003

Persistent link: https://www.econbiz.de/10005419362

A comparative analysis of ability of mimicking portfolios in representing the background factors

Asgharian, Hossein (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001959544

A critical investigation of the explanatory role of factor mimicking portfolios in multifactor asset pricing models

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Book-to-market and size effects : compensations for risks or outcomes of market inefficiencies?

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An analysis of momentum and contrarian anomalies using an orthogonal portfolio approach

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Evaluating a nonlinear asset pricing model on international data

Asgharian, Hossein (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003283102

Evaluating a non-linear asset pricing model on international data

Asgharian, Hossein; Karlsson, Sonnie - In: International review of financial analysis 17 (2008) 3, pp. 604-621

Persistent link: https://www.econbiz.de/10003764509