Theoretical and empirical estimates of mean-variance portfolio sensitivity

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Palczewski, A; Palczewski, J;
(2014)
  • Publisher: Elsevier

This paper studies properties of an estimator of mean-variance portfolio weights in a market model with multiple risky assets and a riskless asset. Theoretical formulas for the mean square error are derived in the case when asset excess returns are multivariate normally... View more
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