Positively Weighted Minimum-Variance Portfolios and the Structure of Asset Expected Returns
暂无分享,去创建一个
[1] A. Stuart,et al. Portfolio Selection: Efficient Diversification of Investments , 1959 .
[2] R. Green,et al. When Will Mean-Variance Efficient Portfolios Be Well Diversified? , 1992 .
[3] L. Pulley. A General Mean-Variance Approximation to Expected Utility for Short Holding Periods , 1981, Journal of Financial and Quantitative Analysis.
[4] James A. Ohlson. The Asymptotic Validity of Quadratic Utility as the Trading Interval Approaches Zero , 1975 .
[5] Robert R. Grauer.. Normality, Solvency, and Portfolio Choice , 1986, Journal of Financial and Quantitative Analysis.
[6] W. Sharpe. Portfolio Theory and Capital Markets , 1970 .
[7] Stephen A. Ross,et al. Comments on qualitative results for investment proportions , 1977 .
[8] Michael J. Best,et al. Capital Asset Pricing Compatible with Observed Market Value Weights , 1985 .
[9] R. Green,et al. Positively Weighted Portfolios on the Minimum-Variance Frontier , 1986 .
[10] R. C. Merton,et al. On Estimating the Expected Return on the Market: An Exploratory Investigation , 1980 .
[11] J. Lintner. THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS , 1965 .
[12] M. Blume,et al. The Asset Structure of Individual Portfolios and Some Implications for Utility Functions , 1975 .
[13] R. C. Merton,et al. AN INTERTEMPORAL CAPITAL ASSET PRICING MODEL , 1973 .
[14] M. Best,et al. Sensitivity Analysis for Mean-Variance Portfolio Problems , 1991 .
[15] R. Stambaugh,et al. On correlations and inferences about mean-variance efficiency , 1987 .
[16] W. Sharpe. CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* , 1964 .
[17] Stephen J. Brown,et al. Estimation risk and optimal portfolio choice , 1980 .
[18] Andrew Rudd,et al. A note on qualitative results for investment proportions , 1977 .
[19] Michael J. Best,et al. The analytics of sensitivity analysis for mean-variance portfolio problems , 1992 .
[20] R. C. Merton,et al. An Analytic Derivation of the Efficient Portfolio Frontier , 1972, Journal of Financial and Quantitative Analysis.
[21] J. Mossin. EQUILIBRIUM IN A CAPITAL ASSET MARKET , 1966 .
[22] M. Best,et al. The Efficient Set Mathematics When Mean-Variance Problems Are Subject to General Linear Constraints , 1990 .
[23] M. Best,et al. On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results , 1991 .
[24] Richard Roll,et al. A Critique of the Asset Pricing Theory''s Tests: Part I , 1977 .
[25] Robert R. Grauer.. Further Ambiguity When Performance Is Measured by the Security Market Line , 1991 .