On portfolio optimization: Forecasting covariances and choosing the risk model

Review of Financial Studies

Volumn 12, Issue 5, 1999, Pages 937-974

  Chan, Louis K C ^a,c   Karceski, Jason ^b   Lakonishok, Josef ^a  

^a UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

^b UNIVERSITY OF FLORIDA   (United States)

^c UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033453060     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/12.5.937     Document Type: Article

References (8)

1. Alexander, G. J., 1978, " A Reevaluation of Alternative Portfolio Selection Models Applied to Common Stocks," Journal of Financial and Quantitative Analysis, 13, 71-78.
2. BARRA, 1990, The United States Equity Model: Handbook, BARRA, Berkeley.
3. Best, M. J., and R. R. Grauer, 1991, " On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results," Review of Financial Studies, 4, 315-342.
4. Chan, L. K. C., and J. Lakonishok, 1993, " Are the Reports of Beta's Death Premature?," Journal of Portfolio Management, 19, 51-62.
5. Chan, L. K. C., J. Karceski, and J. Lakonishok, 1998, " The Risk and Return from Factors," Journal of Financial and Quantitative Analysis, 33, 159-188.
6. Chopra, V. K., and W. T. Ziemba, 1993, " The Effect of Errors in Means, Variances and Covariances on Optimal Portfolio Choice," Journal of Portfolio Management, 19, 6-11.
7. Schwert, G. W., and P. J. Seguin, 1990, " Heteroskedasticity in Stock Returns," Journal of Finance, 45, 1126-1155.
8. Winston, Kenneth, 1993, " The 'Efficient Index' and Prediction of Portfolio Variance," Journal of Portfolio Management, 19, 27-34.