TY - JOUR
T1 - More on Estimation Risk and Simple Rules for Optimal Portfolio Selection
AU - ALEXANDER, GORDON J.
AU - RESNICK, BRUCE G.
PY - 1985/3
Y1 - 1985/3
N2 - For the risk‐averse investor, consideration of estimation risk is important in selecting an expected‐utility‐maximizing portfolio. It has previously been shown that the composition of the tangency portfolio is unaffected by the recognition of estimation risk if the Full Covariance Model is used. Alternatively, if the Market Model is used, the composition of the tangency portfolio has been shown to be affected by the recognition of estimation risk. However, as is demonstrated in this paper, the effect will generally not be as substantive as previously believed and in many situations can be safely ignored. 1985 The American Finance Association
AB - For the risk‐averse investor, consideration of estimation risk is important in selecting an expected‐utility‐maximizing portfolio. It has previously been shown that the composition of the tangency portfolio is unaffected by the recognition of estimation risk if the Full Covariance Model is used. Alternatively, if the Market Model is used, the composition of the tangency portfolio has been shown to be affected by the recognition of estimation risk. However, as is demonstrated in this paper, the effect will generally not be as substantive as previously believed and in many situations can be safely ignored. 1985 The American Finance Association
UR - https://www.scopus.com/pages/publications/0010026480
UR - https://www.scopus.com/pages/publications/0010026480#tab=citedBy
U2 - 10.1111/j.1540-6261.1985.tb04940.x
DO - 10.1111/j.1540-6261.1985.tb04940.x
M3 - Article
AN - SCOPUS:0010026480
SN - 0022-1082
VL - 40
SP - 125
EP - 133
JO - The Journal of Finance
JF - The Journal of Finance
IS - 1
ER -