The Impact of Estimation Error on Portfolio Selection for Investors with Constant Relative Risk Aversion
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Cited by:
- Marc S. Paolella, 2014. "Fast Methods For Large-Scale Non-Elliptical Portfolio Optimization," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-32.
- Platanakis, Emmanouil & Sakkas, Athanasios & Sutcliffe, Charles, 2019.
"Harmful diversification: Evidence from alternative investments,"
The British Accounting Review, Elsevier, vol. 51(1), pages 1-23.
- Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017. "Harmful Diversification: Evidence from Alternative Investments," ICMA Centre Discussion Papers in Finance icma-dp2017-09, Henley Business School, University of Reading.
- A. D. Hall & S. E. Satchell & P. J. Spence, 2015. "Evaluating the impact of inequality constraints and parameter uncertainty on optimal portfolio choice," Applied Economics, Taylor & Francis Journals, vol. 47(45), pages 4801-4813, September.
- La Gubu & Dedi Rosadi & Abdurakhman, 2020. "Robust Mean–Variance Portfolio Selection Using Cluster Analysis: A Comparison between Kamila and Weighted K-Mean Clustering," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(10), pages 1169-1186, October.
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More about this item
Keywords
Portfolio selection; Estimation risk; Markov Chain Monte Carlo;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2003-11-16 (Corporate Finance)
- NEP-FIN-2003-11-16 (Finance)
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