Estimation risk in portfolio selection: The mean variance model versus the mean absolute deviation model

Management Science

Volumn 43, Issue 10, 1997, Pages 1437-1446

  Simaan, Yusif ^a  

^a FORDHAM UNIVERSITY   (United States)

Author keywords

Estimation Risk; Investment Analysis; Mean Variance Portfolio Analysis; Portfolio Analysis

Indexed keywords

ERRORS; MATHEMATICAL MODELS; OPTIMIZATION; RISKS;

ESTIMATION RISK; INVESTMENT ANALYSIS; MEAN ABSOLUTE DEVIATION MODEL; MEAN VARIANCE MODEL; PORTFOLIO ANALYSIS; PORTFOLIO SELECTION;

ESTIMATION;

EID: 0031247120     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.43.10.1437     Document Type: Article

References (13)

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