search query: @author Sutcliffe, C. / total: 11
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| Author: | Board, J. Sutcliffe, C. |
| Title: | Estimation methods in portfolio selection and the effectiveness of short sales restrictions: UK evidence |
| Journal: | Management Science
1994 : APR, VOL. 40:4, p. 516-534 |
| Index terms: | PORTFOLIO SELECTION ESTIMATION MANAGEMENT SCIENCE |
| Language: | eng |
| Abstract: | Forecasting the mean returns vector and the covariance matrix is a key feature in implementing portfolio theory. The performance of the Bayes-Stein method for forecasting these parameters for use in the Markowitz model (with and without short sales) was compared with that of seven other estimation methods, and three alternative portfolio techniques. This paper represents the first large scale empirical investigation of the usefulness of the Bayes-Stein approach using historical data. |
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