Sample vs. Population Mean-Variance Efficient Portfolios
It is common to use historical data in calculating the rates of return of risky options, and these data are used to calculate the mean and the variance, which are employed in the (MV) preference ranking. In this paper we study the effect of possible sampling error on the portfolio ranking. It is sho...
| Veröffentlicht in: | Management Science. - Institute for Operations Research and the Management Sciences, 1954. - 26(1980), 11, Seite 1108-1116 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1980
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| Zugriff auf das übergeordnete Werk: | Management Science |
| Schlagworte: | Portfolio Theory Estimation Mathematics Social sciences Philosophy Economics |
| Online verfügbar |
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