On the Estimation Error in Mean-Variance Efficient Portfolio Weights

Research output: Working paperDiscussion paperOther research output

284 Downloads (Pure)
Original languageEnglish
Place of PublicationTilburg
PublisherFinance
Number of pages20
Volume2004-106
Publication statusPublished - 2004

Publication series

NameCentER Discussion Paper
Volume2004-106

Keywords

  • portfolio choice
  • estimation risk
  • mean-varyance analysis

Cite this

de Roon, F. A. (2004). On the Estimation Error in Mean-Variance Efficient Portfolio Weights. (CentER Discussion Paper; Vol. 2004-106). Finance.