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Persistent link: https://www.econbiz.de/10012033674
In this paper, we build estimation error in mean returns into the mean-variance (MV) portfolio theory under the assumption that returns on individual assets follow a joint normal distribution. We derive the conditional sampling distribution of the MV portfolio along with its mean and risk return...
Persistent link: https://www.econbiz.de/10012972754
Persistent link: https://www.econbiz.de/10011963651