Diversified minimum-variance portfolios
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance,Finance
Link
http://link.springer.com/content/pdf/10.1007/s10436-014-0253-x.pdf
Reference28 articles.
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3. Britten-Jones, M.: The sampling error in estimates of mean-variance efficient portfolio weights. J Financ 54(2), 655–671 (1999)
4. Chamberlain, G., Rothschild, M.: Arbitrage, factor structure, and mean-variance analysis on large asset markets. Econometrica 51(5), 1281–1304 (1983)
5. Chopra, V.K., Ziemba, W.T.: The effect of errors in means, variances, and covariances on optimal portfolio choice. J Portf Manag 19(2), 6–11 (1993)
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