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.

It seems to be widely accepted that Jensen alpha fails to detect successful market timing funds spuriously indicating poor fund performance. Jensen (1972), Admati and Ross (1985), Dybvig and Ross (1985), and Grinblatt and Titman (1989), (1995) attribute that to an upwards biased estimate of the...

Nach §44 Investmentgesetz (InvG) sind Investmentfonds verpflichtet, im Rahmen ihres regelmäßigen Berichtswesens den Anlegern zumindest halbjährlich ihre Portfoliozusammensetzung bekannt zu geben. Häufigere oder auch detailliertere Portfolioveröffentlichung erhöht die Trans parenz des...

The measure of Jensen (1968) is not only the most commonly used performance measure, but also the most heavily criticized one. Jensen (1972) and Grinblatt and Titman (1989), (1995) blame security market analysis to overestimate the beta of a market timing fund, and therefore to underestimate its...