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Resampled efficiency and portfolio choice

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  • Bernd Scherer

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  • Bernd Scherer, 2004. "Resampled efficiency and portfolio choice," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 18(4), pages 382-398, December.
    • Handle: RePEc:kap:fmktpm:v:18:y:2004:i:4:p:382-398
    DOI: 10.1007/s11408-004-0403-7
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    References listed on IDEAS

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    1. Jorion, Philippe, 1986. "Bayes-Stein Estimation for Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(3), pages 279-292, September.
    2. Klein, Roger W. & Bawa, Vijay S., 1976. "The effect of estimation risk on optimal portfolio choice," Journal of Financial Economics, Elsevier, vol. 3(3), pages 215-231, June.
    3. Stambaugh, Robert F., 1997. "Analyzing investments whose histories differ in length," Journal of Financial Economics, Elsevier, vol. 45(3), pages 285-331, September.
    4. Ľuboš Pástor, 2000. "Portfolio Selection and Asset Pricing Models," Journal of Finance, American Finance Association, vol. 55(1), pages 179-223, February.
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    Cited by:

    1. Daniel Bartz & Kerr Hatrick & Christian W Hesse & Klaus-Robert Müller & Steven Lemm, 2013. "Directional Variance Adjustment: Bias Reduction in Covariance Matrices Based on Factor Analysis with an Application to Portfolio Optimization," PLOS ONE, Public Library of Science, vol. 8(7), pages 1-14, July.
    2. Mourad Mroua & Fathi Abid, 2014. "Portfolio revision and optimal diversification strategy choices," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 10(4), pages 537-564, August.
    3. Gabriel Frahm, 2015. "A theoretical foundation of portfolio resampling," Theory and Decision, Springer, vol. 79(1), pages 107-132, July.
    4. Thorsten Poddig & Albina Unger, 2012. "On the robustness of risk-based asset allocations," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(3), pages 369-401, September.

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