Impossible Frontiers
Published Online:9 Apr 2010https://doi.org/10.1287/mnsc.1100.1157
References
- An Introduction to Multivariate Statistical Analysis (1984) 2nd ed.(John Wiley & Sons, New York) Google Scholar
- Estimation Risk and Optimal Portfolio Choice (1979) (North-Holland, Amsterdam) Google Scholar
- Statistical Decision Theory and Bayesian Analysis (1985) 2nd ed.(Springer-Verlag, New York) Crossref, Google Scholar
- Capital asset pricing compatible with observed market value weights. J. Finance (1985) 40:85–103Crossref, Google Scholar
- On the sensitivity of mean-variance-efficient portfolios to changes in asset means: Some analytical and computational results. Rev. Financial Stud. (1991a) 4:315–342Crossref, Google Scholar
- Sensitivity analysis for mean-variance portfolio problems. Management Sci. (1991b) 37:980–989Link, Google Scholar
- Positively weighted minimum-variance portfolios and the structure of asset expected returns. J. Financial Quant. Anal. (1992) 27:513–537Crossref, Google Scholar
- Global portfolio optimization. Financial Analysts J. (1992) 47:28–43Crossref, Google Scholar
- Bayesian Inference in Statistical Analysis (1973) (Addison-Wesley, Reading, MA) Google Scholar
- Optimal portfolio choice under uncertainty: A Bayesian approach. (1976) . Ph.D. dissertation, University of Chicago, ChicagoGoogle Scholar
- Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy? Rev. Financial Stud. (2009) 22:1915–1953Crossref, Google Scholar
- Robust Portfolio Optimization and Management (2007) (Wiley Finance, New York) Google Scholar
- An empirical bayes approach to efficient portfolio selection. J. Financial Quant Anal. (1986) 21:293–305Crossref, Google Scholar
- Portfolio selection with parameter and model uncertainty: A multi-prior approach. Rev. Financial Stud. (2007) 20:41–81Crossref, Google Scholar
- When will mean-variance efficient portfolios be well diversified? J. Finance (1992) 47:1785–1809Crossref, Google Scholar
- Positively weighted portfolios on the minimum-variance frontier. J. Finance (1986) 41:1051–1068Crossref, Google Scholar
- Risk reduction in large portfolios: Why imposing the wrong constraints helps. J. Finance (2003) 58:1651–1683Crossref, Google Scholar
- Theory of Probability (1961) 3rd ed.(Oxford University Press, Oxford, UK) Google Scholar
- Posn(R) and Eisenstein Series (2005) (Springer-Verlag, Berlin) Google Scholar
- Bayes-Stein estimation for portfolio analysis. J. Financial Quant. Anal. (1986) 21:279–292Crossref, Google Scholar
- Optimal portfolio choice with parameter uncertainty. J. Financial Quant. Anal. (2007) 42:621–656Crossref, Google Scholar
- The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Rev. Econom. Statist. (1965) 47:13–37Crossref, Google Scholar
- Portfolio selection. J. Finance (1952) 7:77–91Google Scholar
- Portfolio Selection (1959) (Cowles Foundation, Yale University, New Haven, CT) Google Scholar
- Market efficiency: A theoretical distinction and so what? Financial Analysts J. (2005) 60:17–30Crossref, Google Scholar
- An analytic derivation of the efficient portfolio frontier. J. Financial Quant. Anal. (1972) 7:1851–1872Crossref, Google Scholar
- Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation (1998) (Harvard Business School Press, Boston) Google Scholar
- Critique of the asset pricing theory's tests: Part I: On past and potential testability of the theory. J. Financial Econom. (1977) 4:129–176Crossref, Google Scholar
- Comments on qualitative results for investment proportions. J. Financial Econom. (1977) 5:265–268Crossref, Google Scholar
- The arbitrage theory of capital asset pricing. J. Econom. Theory (1976) 13:341–360Crossref, Google Scholar
- Note on qualitative results for investment proportions. J. Financial Econom. (1977) 5:259–263Crossref, Google Scholar
- Capital asset prices: A theory of market equilibrium under conditions of risk. J. Finance (1964) 19:425–442Google Scholar
- Liquidity preference as behavior towards risk. Rev. Econom. Stud. (1958) 67:65–86Crossref, Google Scholar
- Data-generating process uncertainty: What difference does it make in portfolio decisions? J. Financial Econom. (2004) 72:385–421Crossref, Google Scholar
- Incorporating economic objectives into Bayesian priors: Portfolio choice under parameter uncertainty. (2007) . Working paper, Olin School of Business, Washington University, St. LouisGoogle Scholar
- Being naive about naive diversification: Can investment theory beat the 1/N strategy? (2008) . Working paper, Olin School of Business, Washington University, St. LouisGoogle Scholar
- A shrinkage approach to model uncertainty and asset allocation. Rev. Financial Stud. (2005) 18:673–705Crossref, Google Scholar

