haku: @indexterm PORTFOLIO INVESTMENT / yhteensä: 425
viite: 203 / 425
| Tekijä: | Gennotte, G. |
| Otsikko: | Optimal portfolio choice under incomplete information. |
| Lehti: | Journal of Finance
1986 : JUL, VOL. 41:3, p. 733-749 |
| Asiasana: | PORTFOLIO INVESTMENT |
| Kieli: | eng |
| Tiivistelmä: | It is examined if the assumption of observability of expected returns and other relevant variables causes significant mis-specification in equilibrium models of asset prices. It is aimed to derive optimal estimators for the unobservable expected instantaneous returns using observations of past realized returns; to establish that estimation and portfolio choice can be solved in two separate steps; to analyze the impact of estimation error on investment choices. The estimators of expected returns are in general not consistent, the estimation error does not tend to disappear asymptotically. The effects of estimation error cannot be ignored. |
SCIMA