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Mean‐Variance Optimal Portfolio Models And The Inappropriateness Of The Assumption Of A Time‐Stable Variance‐Covariance Matrix

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  • Bluford H. Putnam
  • Jose Mario Quintana

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  • Bluford H. Putnam & Jose Mario Quintana, 1991. "Mean‐Variance Optimal Portfolio Models And The Inappropriateness Of The Assumption Of A Time‐Stable Variance‐Covariance Matrix," Review of Financial Economics, John Wiley & Sons, vol. 1(1), pages 1-22, September.
    • Handle: RePEc:wly:revfec:v:1:y:1991:i:1:p:1-22
    DOI: 10.1002/j.1873-5924.1991.tb00538.x
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    References listed on IDEAS

    as
    1. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-131, February.
    2. John F. O. Bilson & Richard C. Marston, 1984. "Exchange Rate Theory and Practice," NBER Books, National Bureau of Economic Research, Inc, number bils84-1.
    3. Barr Rosenberg., 1972. "The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices," Research Program in Finance Working Papers 11, University of California at Berkeley.
    4. Merton, Robert C., 1980. "On estimating the expected return on the market : An exploratory investigation," Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December.
    5. Robert E. Cumby & Maurice Obstfeld, 1984. "International Interest Rate and Price Level Linkages under Flexible Exchange Rates: A Review of Recent Evidence," NBER Chapters, in: Exchange Rate Theory and Practice, pages 121-152, National Bureau of Economic Research, Inc.
    6. repec:bla:jfinan:v:44:y:1989:i:2:p:307-25 is not listed on IDEAS
    7. Jorion, Philippe, 1991. "Bayesian and CAPM estimators of the means: Implications for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 15(3), pages 717-727, June.
    8. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    9. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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