Back to search

The Sampling Error in Estimates of Mean‐Variance Efficient Portfolio Weights

Data up to Jan 2025

Published1999
Citations467
References34

Total Citations Per Year

Abstract

References (34)

Estimation and Inference in Econometrics.

1994 • 5,846 citations

Estimation and Inference in Econometrics.

1994 • 2,538 citations

Handbooks in operations research and management science

1989 • 2,362 citations

A Test of the Efficiency of a Given Portfolio

1989 • 2,325 citations

Global Portfolio Optimization

1992 • 1,702 citations

International Portfolio Choice and Corporation Finance: A Synthesis

1983 • 1,374 citations

A Cross-Sectional Test of an Investment-Based Asset Pricing Model

1996 • 1,092 citations

The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models

1987 • 1,016 citations

Another Look at the Cross‐section of Expected Stock Returns

1995 • 1,009 citations

On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results

1991 • 994 citations

International Portfolio Diversification with Estimation Risk

1985 • 705 citations

Mean‐Variance Versus Direct Utility Maximization

1984 • 479 citations

Modern Investment Theory.

1986 • 436 citations

An Empirical Bayes Approach to Efficient Portfolio Selection

1986 • 407 citations

On the Cross‐sectional Relation between Expected Returns and Betas

1994 • 368 citations

For better performance

1988 • 318 citations

Multifactor Portfolio Efficiency and Multifactor Asset Pricing

1996 • 290 citations

Multivariate Observations

1985 • 279 citations

Portfolio Inefficiency and the Cross‐section of Expected Returns

1995 • 249 citations

Factor pricing in a finite economy

1983 • 187 citations

Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution

1990 • 166 citations

A Performance Interpretation of Multivariate Tests of Asset Set Intersection, Spanning, and Mean-Variance Efficiency

1989 • 154 citations

A General Mean-Variance Approximation to Expected Utility for Short Holding Periods

1981 • 148 citations

A Bayesian approach to testing portfolio efficiency

1987 • 119 citations

Bayesian inference in asset pricing tests

1990 • 112 citations

Bayesian Inference and Portfolio Efficiency

1995 • 102 citations

Multivariate Analysis

1988 • 102 citations

Where Are the Gains from International Diversification?

1996 • 89 citations

Posterior, predictive, and utility-based approaches to testing the arbitrage pricing theory

1990 • 83 citations

A bayesian approach to testing the arbitrage pricing theory

1991 • 81 citations

Real estate, futures, and gold as portfolio assets

1987 • 81 citations

Optimal international asset allocation

1982 • 75 citations

A note on the geometry of Shanken's CSR T2 test for mean/variance efficiency

1985 • 49 citations

Chapter 6 International portfolio choice and asset pricing: An integrative survey

1995 • 39 citations

Cited By (0)

Loading...
The Sampling Error in Estimates of Mean‐Variance Efficient Portfolio Weights (1999) – The Journal of Finance | Metascience Observatory Explorer