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題名:Estimation Risk and Optimal Portfolio Construction in a Lognormal-Securities Market: A Simple Rule
書刊名:財務金融學刊
作者:湯美玲 引用關係陳松男江彌修 引用關係
作者(外文):Tang, Mei-lingChen, Son-nanChiang Mi-hsiu
出版日期:2012
卷期:20:2
頁次:頁19-53
主題關鍵詞:最適投資組合建構對數常態資本市場估計風險漸進方法Optimal portfolio constructionLognormal-securities marketEstimation riskAsymptotic property
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:29
期刊論文
1.Liu, J.(2007)。Portfolio Selection in Stochastic Environments。Review of Financial Studies,20(1),1-39。  new window
2.Brennan, Michael J.、Xia, Yihong H.(2002)。Dynamic Asset Allocation under Inflation。The Journal of Finance,57(3),1201-1238。  new window
3.Xia, Y.(2001)。Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation。Journal of Finance,56,205-246。  new window
4.Merton, Robert C.(1971)。Optimum Consumption and Portfolio Rules in a Continuous-time Model。Journal of Economic Theory,3,373-413。  new window
5.Pástor, L.、Stambaugh, Robert F.(2000)。Comparing asset pricing models: An investment perspective。Journal of Financial Economics,56,335-381。  new window
6.Chopra, Vijay K.、Ziemba, William T.(1993)。The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice。The Journal of Portfolio Management,19(2),6-11。  new window
7.Chopra, V. K.、Hensel, C. R.、Turner, A. L.(1993)。Massaging mean-variance inputs: Returns from alternative global investment strategies in the 1980s。Management Science,39,845-855。  new window
8.Osborne, M. F. M.(1959)。Brownian Motion in the Stock Market。Operations Research,7(2),145-173。  new window
9.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
10.Alexander, Gordon J.、Resnick, Bruce G.(1985)。More on estimation risk and simple rules for optimal portfolio selection。Journal of Finance,40,125-133。  new window
11.Barberis, Nicholas(2000)。Investing for the long run when returns are predictable。Journal of Finance,55,225-264。  new window
12.Best, Michael J.、Grauer, Robert R.(1991)。On the sensitivity of mean-variance-efficient portfolios to changes in asset means: Some analytical and computational results。Review of Financial Studies,4,315-342。  new window
13.Cairns, Andrew J. G.(2000)。A discussion of parameter and model uncertainty in insurance。Insurance: Mathematics and Economics,27,313-330。  new window
14.Chan, Louis K. C.、Karceski, Jason、Lakonishok, Josef(1999)。On portfolio optimization: Forecasting covariances and choosing the risk model。Review of Financial Studies,12,937-974。  new window
15.DeMiguel, Victor、Garlappi, Lorenzo、Uppal, Raman(2009)。Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy?。Review of Financial Studies,22,1915-1953。  new window
16.Elton, Edwin J.、Gruber, Martin J.(1974)。On the maximization of the geometric mean with lognormal return distribution。Management Science,21,483-488。  new window
17.Elton, Edwin J.、Gruber, Martin J.、Padberg, Manfred W.(1976)。Simple criteria for optimal portfolio selection。Journal of Finance,31,1341-1357。  new window
18.Fabozzi, Frank J.、Huang, Dashan、Zhou, Guofu(2010)。Robust portfolios: Contributions from operations research and finance。Annals of Operations Research,176,191-220。  new window
19.Frost, Peter A.、Savarino, James E.(1988)。For better performance: Constrain portfolio weights。Journal of Portfolio Management,15,29-34。  new window
20.Grauer, Robert R.、Hakansson, Nils H.(1995)。Stein and CAPM estimators of the means in asset allocation。International Review of Financial Analysis,4,35-66。  new window
21.Jagannathan, Ravi、Ma, Tongshu(2003)。Risk reduction in large portfolios: Why imposing the wrong constraints helps。Journal of Finance,58,1651-1683。  new window
22.Jorion, Philippe(1986)。Bayes-Stein estimation for portfolio analysis。Journal of Financial and Quantitative Analysis,21,279-292。  new window
23.Kan, Raymond、Zhou, Guofu(2007)。Optimal portfolio choice with parameter uncertainty。Journal of Financial and Quantitative Analysis,42,621-656。  new window
24.Kuhn, Daniel, et al.(2009)。Dynamic mean-variance portfolio analysis under model risk。Journal of Computational Finance,12,91-115。  new window
25.Lee, Wayne Y.、Rao, Ramesh K. S.(1988)。Mean lower partial moment valuation and lognormally distributed returns。Management Science,34,446-453。  new window
26.Ledoit, Olivier、Wolf, Michael(2003)。Improved estimation of the covariance matrix of stock returns with an application to portfolio selection。Journal of Empirical Finance,10,603-621。  new window
27.Ledoit, Olivier、Wolf, Michael(2004)。Honey, I shrunk the sample covariance matrix。Journal of Portfolio Management,30(4),110-119。  new window
28.Merton, Robert C.,(1980)。On estimating the expected returns on the market: An exploratory investigation。Journal of Financial Economics,8,323-361。  new window
29.Michaud, Richard O.(1989)。The Markowitz optimization enigma: Is 'optimized' optimal?。Financial Analysts Journal,45,31-42。  new window
30.Munk, Claus、S0rensen, Carsten、Vinther, Tina N.(2004)。Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty: Are popular recommendations consistent with rational behavior?。International Review of Economics & Finance,13,141-166。  new window
31.Ohlson, James A.(1977)。Quadratic approximations of the portfolio selection problem when the means and variances of returns are infinite。Management Science,23,576-584。  new window
32.Ohlson, James A.、Ziemba, William T.(1976)。Portfolio selection in a lognormal market when the investor has a power utility function。Journal of Financial and Quantitative Analysis,11,57-71。  new window
33.Samuelson, Paul A.(1970)。The fundamental approximation theorem of portfolio analysis in terms of means, variances, and higher moments。Review of Economic Studies,37,537-542。  new window
34.Stambaugh, Robert F.(1997)。Analyzing investments whose histories differ in length。Journal of Financial Economics,45,285-331。  new window
35.Tu, Jun、Zhou, Guofu(2010)。Incorporating economic objectives into Bayesian priors: Portfolio choice under parameter uncertainty。Journal of Financial arid Quantitative Analysis,45,959-986。  new window
36.Wachter, Jessica A.(2002)。Portfolio and consumption decisions under mean-reverting returns: An exact solution for complete markets。Journal of Financial and Quantitative Analysis,37,63-91。  new window
圖書
1.Bawa, V. S.、Brown, S. J.、Klein, R. W.(1979)。Estimation risk and optimal portfolio choice。New York:North-Holland Publishing Company。  new window
2.Bawa, Vijay S.、Chakrin, Lewis M.(1979)。Optimal portfolio choice and equilibrium in a lognormal securities market。Portfolio Theory: 25 Years After, Special Studies of The Institute of Management Science \\ Elton, Edwin J. ; Gruber, Martin J. (ed.)。New York。  new window
3.Brown, Stephen J.(1979)。Estimation risk and optimal portfolio choice: The sharpe index model。Estimation Risk and Optimal Portfolio Choice \\ Bawa, Vijay S., et al. (ed.)。New York。  new window
 
 
 
 
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