Starting with a market model of security returns, we describe how the parameters of a distribution for security characteristics can be estimated in a manner correcting for a subtle but significant source of error. When this error is removed, strong negative correlations between "alpha" and...

A rolling schedule is formed by solving a multi-period problem and implementing only the first period's decisions; one period later the multi-period model is updated and the process repeated. In this paper, we provide a general framework for analyzing rolling schedules, and we examine...

A common formulation of the portfolio selection problem leads to the prescription of a strategy which maximizes the geometric mean return on investments. In this paper we examine conditions under which solutions exist for the case where the returns distribution is discrete. We establish...

A reply to Aucamp, Donald C. 1978. Communications--A comment on geometric mean portfolios. Management Sci. 24(8, April) 859.