Coles, Jeffrey L.; Loewenstein, Uri; Suay, Jose - In: Journal of Financial and Quantitative Analysis 30 (1995) 03, pp. 347-364
Prior theoretical work on estimation risk generally has been restricted to single-period, returns-based models in which the investor must estimate the vector of expected returns but the covariance matrix is known. This paper extends the literature on parameter uncertainty in several ways. First,...
