论文信息 - Sampling Errors and Portfolio Efficient Analysis

Sampling Errors and Portfolio Efficient Analysis

Studies which deal with portfolio efficiency analysis can be divided into two main categories: (a) those concerned with the development of normative decision rules; and (b) those that discuss the application of the normative rules to empirical data. Most of the research on portfolio efficiency analysis uses some set of empirical data, without considering the possible errors which may arise when a sample rather than the entire population is examined. The prevailing neglect of the sampling errors is a clear reflection of the complexity of the issue.

Haim Levy | Yoram Kroll | H. Levy | Yoram Kroll

[1] Haim Levy,et al. Relative Effectiveness of Efficiency Criteria for Portfolio Selection , 1970, Journal of Financial and Quantitative Analysis.

[2] William Feller,et al. An Introduction to Probability Theory and Its Applications , 1967 .

[3] Peter C. Fishburn,et al. Decision And Value Theory , 1965 .

[4] Philip H Friedman,et al. Natural resources, uncertainty, and general equilibrium systems : essays in memory of Rafael Lusky , 1977 .

[5] Haim Levy,et al. ALTERNATIVE EFFICIENCY CRITERIA: AN EMPIRICAL ANALYSIS , 1970 .

[6] Keith H. Johnson,et al. The Effects of Sample Sizes on the Accuracy of EV and SSD Efficiency Criteria , 1975, Journal of Financial and Quantitative Analysis.

[7] R. Burr Porter,et al. An Empirical Comparison of Stochastic Dominance and Mean-Variance Portfolio Choice Criteria , 1973, Journal of Financial and Quantitative Analysis.