Analysing the information embedded in the optimal mean–variance weights: CAPM versus Bamberg and Dorfleitner model
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Business, Management and Accounting
Link
http://link.springer.com/article/10.1007/s11846-016-0205-0/fulltext.html
Reference37 articles.
1. Alexander GJ, Baptista AM (2002) Economic implications of using a mean–VaR model for portfolio selection: a comparison with mean–variance analysis. J Econ Dyn Control 26(7):1159–1193. doi: 10.1016/S0165-1889(01)00041-0
2. Back K (2010) Asset pricing and portfolio choice theory. Oxford University Press, Oxford
3. Bamberg G (1986) The hybrid model and related approaches to capital market equilibria. In: Bamberg G, Spremann K (eds) capital market equilibria. Springer, Berlin, pp 7–54. doi: 10.1007/978-3-642-70995-1
4. Bamberg G, Dorfleitner G (2013) On a neglected aspect of portfolio choice: the role of the invested capital. RMS 7(1):85–98. doi: 10.1007/s118n46-011-0078-1
5. Bamberg G, Spremann K (1981) Implications of constant risk aversion. Z Oper Res 25(7):205–224. doi: 10.1007/bf01917173
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