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An Introduction to Bayesian Inference in Econometrics.

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Differential Information and Security Market Equilibrium

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Applied multivariate analysis

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A characterization of the distributions that imply mean—Variance utility functions

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Equilibrium pricing and portfolio composition in the presence of uncertain parameters

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PORTFOLIO ANALYSIS UNDER UNCERTAIN MEANS, VARIANCES, AND COVARIANCES

1974 • 192 citations

The effect of limited information and estimation risk on optimal portfolio diversification

1977 • 181 citations

Arbitrage Pricing with Estimation Risk

1993 • 178 citations

The Effect of Estimation Risk on Capital Market Equilibrium

1979 • 136 citations

Empirical Estimates of Beta When Investors Face Estimation Risk

1990 • 131 citations

Estimation Risk in the Portfolio Selection Model

1971 • 77 citations

A BAYESIAN MODEL FOR PORTFOLIO SELECTION AND REVISION

1975 • 65 citations

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Parameter‐based Decision Making under Estimation Risk: An Application to Futures Trading

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Effects of Uncertain and Nonstationary Parameters Upon Capital Market Equilibrium Conditions

1978 • 32 citations