search query: @author Frankfurter, G. M. / total: 11
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| Author: | Frankfurter, G. M. Lamoureux, C. G. |
| Title: | Estimation and Selection Bias in Mean- Variance Portfolio Selection |
| Journal: | Journal of Financial Research
1989 : SUMMER, VOL. 12:2, p.173-181 |
| Index terms: | INVESTMENT PORTFOLIO INVESTMENT |
| Language: | eng |
| Abstract: | A lot of researchers has studied the problem of selecting portfolios without the benefit of parametric measures of risk and return. The present paper uses a Monte Carlo technique to isolate the extent and nature of the problems introduced by this practice. The application is done in the context of classical statistical methodology without permitting short sales. It is demonstrated that the traditional solution is not only obscures parametric values but also affects portfolio composition in the Markowitz framework. Here these two components are isolated and measured. |
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