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). Tilburg: Finance.
de Roon, F.A. / On the Estimation Error in Mean-Variance Efficient Portfolio Weights. Tilburg : Finance, 2004. (CentER Discussion Paper).
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author = "{de Roon}, F.A.",
note = "Pagination: 20",
year = "2004",
language = "English",
volume = "2004-106",
series = "CentER Discussion Paper",
publisher = "Finance",
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de Roon, FA 2004 'On the Estimation Error in Mean-Variance Efficient Portfolio Weights' CentER Discussion Paper, vol. 2004-106, Finance, Tilburg.

On the Estimation Error in Mean-Variance Efficient Portfolio Weights. / de Roon, F.A.

Tilburg : Finance, 2004. (CentER Discussion Paper; Vol. 2004-106).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - On the Estimation Error in Mean-Variance Efficient Portfolio Weights

AU - de Roon, F.A.

N1 - Pagination: 20

PY - 2004

Y1 - 2004

KW - portfolio choice

KW - estimation risk

KW - mean-varyance analysis

M3 - Discussion paper

VL - 2004-106

T3 - CentER Discussion Paper

BT - On the Estimation Error in Mean-Variance Efficient Portfolio Weights

PB - Finance

CY - Tilburg

ER -

de Roon FA. On the Estimation Error in Mean-Variance Efficient Portfolio Weights. Tilburg: Finance. 2004. (CentER Discussion Paper).