Bayes-Stein Estimation for Portfolio Analysis

Portfolio Selection: Efficient Diversification of Investments

1959 • 5,744 citations

Portfolio Selection: Efficient Diversification of Investments.

1962 • 3,736 citations

On estimating the expected return on the market

1980 • 2,932 citations

Estimation with Quadratic Loss

1992 • 2,391 citations

An Introduction to Bayesian Inference in Econometrics.

1974 • 2,058 citations

Bayes Estimates for the Linear Model

1972 • 1,875 citations

INADMISSIBILITY OF THE USUAL ESTIMATOR FOR THE MEAN OF A MULTIVARIATE NORMAL DISTRIBUTION

1956 • 1,847 citations

Parametric Empirical Bayes Inference: Theory and Applications

1983 • 1,326 citations

An Analytic Derivation of the Efficient Portfolio Frontier

1972 • 1,039 citations

Stein's Estimation Rule and its Competitors—An Empirical Bayes Approach

1973 • 860 citations

Data Analysis Using Stein's Estimator and its Generalizations

1975 • 825 citations

International Portfolio Diversification with Estimation Risk

1985 • 705 citations

The effect of estimation risk on optimal portfolio choice

1976 • 551 citations

BETAS AND THEIR REGRESSION TENDENCIES

1975 • 538 citations

Estimation for Markowitz Efficient Portfolios

1980 • 515 citations

Statistical Decision Theory

1989 • 503 citations

A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS

1973 • 467 citations

Estimation Risk and Optimal Portfolio Choice.

1981 • 326 citations

Confidence Sets for the Mean of a Multivariate Normal Distribution

1962 • 226 citations

Prediction and Decision Problems in Regression Models from the Bayesian Point of View

1965 • 222 citations

On the Admissibility of Invariant Estimators of One or More Location Parameters

1966 • 193 citations

PORTFOLIO ANALYSIS UNDER UNCERTAIN MEANS, VARIANCES, AND COVARIANCES

1974 • 192 citations

Families of Minimax Estimators of the Mean of a Multivariate Normal Distribution

1976 • 168 citations

Portfolio Selection: The Effects of Uncertain Means, Variances, and Covariances

1971 • 164 citations

The Effect of Estimation Risk on Capital Market Equilibrium

1979 • 136 citations

Selecting a Minimax Estimator of a Multivariate Normal Mean

1982 • 99 citations

Studies in Bayesian econometrics and statistics

1977 • 75 citations

A Heuristic Method for Determining Admissibility of Estimators--With Applications

1979 • 67 citations

Estimation with Incompletely Specified Loss Functions (the Case of Several Location Parameters)

1975 • 56 citations

The Reliability of Estimation Procedures in Portfolio Analysis

1974 • 56 citations

Minimax estimation of a multivariate normal mean under polynomial loss

1978 • 30 citations

Eliminating Singularities of Stein-Type Estimators of Location Vectors

1976 • 14 citations