✦ LIBER ✦

The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights

✍ Scribed by Mark Britten-Jones

Book ID: 108502846
Publisher: John Wiley and Sons
Year: 1999
Tongue: English
Weight: 123 KB
Volume: 54
Category: Article
ISSN: 0022-1082
DOI: 10.1111/0022-1082.00120

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Mean-variance efficiency of the market p

Mean-variance efficiency of the market portfolio and futures trading

✍ Abraham Lioui; Patrice Poncet 📂 Article 📅 2001 🏛 John Wiley and Sons 🌐 English ⚖ 117 KB 👁 2 views

Estimating means and variances: The comp

Estimating means and variances: The comparative efficiency of composite and grab samples

✍ S. Brumelle; P. Nemetz; D. Casey 📂 Article 📅 1984 🏛 Springer 🌐 English ⚖ 198 KB

On estimating the variance of the system

On estimating the variance of the systematic sample mean

✍ Giorgio E. Montanari; Francesco Bartolucci 📂 Article 📅 1998 🏛 Springer 🌐 English ⚖ 688 KB

A direct test for the mean variance effi

A direct test for the mean variance efficiency of a portfolio

✍ Gopal Basak; Ravi Jagannathan; Guoqiang Sun 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 178 KB

We develop a direct test for examining the mean-variance e ciency of a given bench-mark asset return. Unlike traditional tests for mean-variance e ciency, this test allows for the possibility that short positions in the primitive assets may not be possible. Using this test, we cannot reject the hypo

Large-sample normality of the batch-mean

Large-sample normality of the batch-means variance estimator

✍ Michael Sherman; David Goldsman 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 160 KB

Effects of sampling regime on the mean a

Effects of sampling regime on the mean and variance of home range size estimates

✍ LUCA BÖRGER; NOVELLA FRANCONI; GIAMPIERO DE MICHELE; ALBERTO GANTZ; FIORA MESCHI 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 346 KB