Mean Variance Portfolio Allocation
Author:
Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-030-91231-4_20
Reference32 articles.
1. Best, M.J., and R.R. Grauer. 1991. On the sensitivity of mean variance efficient portfolios to changes in asset means: Some analytical and computational results. Review of Financial Studies 4 (2): 315–342.
2. Black, F. 1971. Capital market equilibrium with restricted borrowing. Journal of Business 45: 444–454.
3. Britten-Jones, M. 1999. The sampling error in estimates of mean efficient portfolio weight. Journal of Finance 54 (2): 655–671.
4. Campbell, J.Y., A.W. Lo, and A.C. MacKinley. 1997. The econometrics of financial markets. Princeton: Princeton University Press.
5. Chopra, Vijay K. 1991. Mean variance revisited: Near optimal portfolios and sensitivity to input variations. Russell Research Commentary.
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