Is the MV efficient portfolio really that sensitive to estimation errors?

Asia-Pacific Journal of Operational Research

Volumn 19, Issue 2, 2002, Pages 149-168

  Chen, Zhi Ping ^a   Zhao, Cai E ^a  

^a XI'AN JIAOTONG UNIVERSITY   (China)

Author keywords

Estimation error; Lipschitz continuity; MV model; Sensitivity

Indexed keywords

DECISION MAKING; ERROR ANALYSIS; INVESTMENTS; PARAMETER ESTIMATION;

LIPSCHITZ CONTINUITY; MEAN-VARIANCE THEORY;

OPERATIONS RESEARCH;

EID: 0036874579     PISSN: 02175959     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (12)

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